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Order estimation by accumulated prediction errors

Published online by Cambridge University Press:  14 July 2016

Jorma Rissanen
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Abstract

This paper presents a new criterion based on prediction error which allows the estimation of the number of parameters as well as structures in statistical models. The criterion is valid for short and long samples alike. Unlike Akaike's earlier criterion, also based on prediction error, the criterion proposed here appears to produce consistent error estimates in ARMA processes.

Keywords

ARMA PROCESSESMINIMUM DESCRIPTION LENGTHMODEL COSTPARAMETERSCONSISTENCY

Information

Type
Part 1—Structure and General Methods for Time Series
Information
Journal of Applied Probability , Volume 23 , Issue A: Essays in Time Series and Allied Processes , 1986 , pp. 55 - 61
Copyright
Copyright © 1986 Applied Probability Trust 

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