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A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
606
Citations
4
References
1979
Year
Bayesian StatisticsParameter IdentificationEngineeringParameter EstimationData ScienceEconometricsBiostatisticsStatistical InferenceModel ComparisonBayesian ExtensionForecastingMinimum Aic ProcedureEstimation TheoryAutoregressive Model FittingPublic HealthStatisticsModified Aic StatisticsBayesian Hierarchical Modeling
The proposal of simultaneous use of modified AIC statistics by Bhansali & Downham for the fitting of autoregressive models is reviewed and a Bayesian extension of the minimum AIC procedure is proposed. The practical utility of the procedure is demonstrated by numerical examples.
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