Forecasting ARMA models: a comparative study of information criteria focusing on MDIC
(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).
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1546970
- author
- Mantalos, Panagiotis LU ; Mattheou, K. and Karagrigoriou, A.
- organization
- publishing date
- 2010
- 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
- 2016-04-01 13:49:20
- date last changed
- 2022-04-14 03:21:51
@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}}, keywords = {{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}}, doi = {{10.1080/00949650802464137}}, volume = {{80}}, year = {{2010}}, }