Regression And Time Series Model Selection
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A01=Allan D R Mcquarrie
A01=Chih-ling Tsai
Author_Allan D R Mcquarrie
Author_Chih-ling Tsai
Bootstrap
Category=PBT
Category=PBW
Cross Validation
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
Information Theory
Model Selection
Multivariate
Nonparametric
Regression
Time Series
Product details
- ISBN 9789810232429
- Publication Date: 02 Jun 1998
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
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This important book describes procedures for selecting a model from a large set of competing statistical models. It includes model selection techniques for univariate and multivariate regression models, univariate and multivariate autoregressive models, nonparametric (including wavelets) and semiparametric regression models, and quasi-likelihood and robust regression models. Information-based model selection criteria are discussed, and small sample and asymptotic properties are presented. The book also provides examples and large scale simulation studies comparing the performances of information-based model selection criteria, bootstrapping, and cross-validation selection methods over a wide range of models.
