Exponentially Weighted Information Criteria for Selecting Among Forecasting Models

Exponentially Weighted Information Criteria for Selecting Among Forecasting Models

Information criteria (IC) are often used to decide between forecasting models. Commonly used criteria include Akaike's IC and Schwarz's Bayesian IC. They involve the sum of two terms: the model's log likelihood and a penalty for the number of model parameters. The likelihood is calcul...

书目详细资料
主要作者:	Taylor, J
格式:	Journal article
出版:	2008

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