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Synapse
March 6, 2026Open Access

Finite sample properties of the Extended Bayesian Information Criterion and related simulations with autocorrected data

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Authors

DMDuncan MacDonald

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Overview

Simulations compare BIC and UBIC for autoregressive models, indicating model performance consistency.

Key Points

  • The aim is to evaluate the performance of BIC and UBIC in model selection for autoregressive time series.
  • Performed simulations with autoregressive models using FitAR function.
  • Compared BIC and UBIC for model selection.
  • Proposed a selection algorithm for regression with autocorrelated errors.
  • Evaluated performance through subset selection of partial autocorrelations.
  • Demonstrated consistency in performance of Extended BIC in autoregressive contexts.
  • Provided insights into effectiveness of model selection algorithms based on BIC and UBIC.

Cite This Study

Duncan MacDonald (2009) studied this question.

synapsesocial.com/papers/69aa7096531e4c4a9ff5a87ahttps://doi.org/10.26108/deqq-ps06
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