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Forecasting ARMA models: a comparative study of information criteria focusing on MDIC

Mantalos, Panagiotis LU ; Mattheou, K. and Karagrigoriou, A. (2010) In Journal of Statistical Computation and Simulation 80(1-2). p.61-73
Abstract
This paper deals with the implementation of model selection criteria to data generated by ARMA processes. The recently introduced modified divergence information criterion is used and compared with traditional selection criteria like the Akaike information criterion (AIC) and the Schwarz information criterion (SIC). The appropriateness of the selected model is tested for one- and five-step ahead predictions with the use of the normalized mean squared forecast errors (NMSFE).
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
NMSFE, MDIC, model selection, ARMA process, information criterion
in
Journal of Statistical Computation and Simulation
volume
80
issue
1-2
pages
61 - 73
publisher
Taylor & Francis
external identifiers
  • wos:000273913800005
  • scopus:77649139313
ISSN
1563-5163
DOI
10.1080/00949650802464137
language
English
LU publication?
yes
id
2043e8b2-9081-45ff-8c79-9680a2b05a44 (old id 1546970)
date added to LUP
2010-02-25 10:40:35
date last changed
2018-05-29 09:33:16
@article{2043e8b2-9081-45ff-8c79-9680a2b05a44,
  abstract     = {This paper deals with the implementation of model selection criteria to data generated by ARMA processes. The recently introduced modified divergence information criterion is used and compared with traditional selection criteria like the Akaike information criterion (AIC) and the Schwarz information criterion (SIC). The appropriateness of the selected model is tested for one- and five-step ahead predictions with the use of the normalized mean squared forecast errors (NMSFE).},
  author       = {Mantalos, Panagiotis and Mattheou, K. and Karagrigoriou, A.},
  issn         = {1563-5163},
  keyword      = {NMSFE,MDIC,model selection,ARMA process,information criterion},
  language     = {eng},
  number       = {1-2},
  pages        = {61--73},
  publisher    = {Taylor & Francis},
  series       = {Journal of Statistical Computation and Simulation},
  title        = {Forecasting ARMA models: a comparative study of information criteria focusing on MDIC},
  url          = {http://dx.doi.org/10.1080/00949650802464137},
  volume       = {80},
  year         = {2010},
}