On time series model selection involving many candidate ARMA models.
Guoqi Q. QianXindong ZhaoPublished in: Comput. Stat. Data Anal. (2007)
Keyphrases
- model selection
- cross validation
- parameter estimation
- model selection criteria
- sample size
- autoregressive
- regression model
- statistical inference
- statistical learning
- machine learning
- selection criterion
- gaussian process
- moving average
- bayesian learning
- hyperparameters
- variable selection
- mixture model
- error estimation
- information criterion
- autoregressive moving average
- automatic model selection
- bayesian information criterion
- generalization bounds
- bayesian methods
- closed form
- least squares
- probabilistic model
- bayesian model selection
- high dimensional