Relations between information criteria for model-structure selection Part 3. Strong consistency of the predictive least squares criterion
作者:
SÁNDORM. VERES,
期刊:
International Journal of Control
(Taylor Available online 1990)
卷期:
Volume 52,
issue 3
页码: 737-752
ISSN:0020-7179
年代: 1990
DOI:10.1080/00207179008953564
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The strong consistency of the predictive least squares (PLS) structure selection criterion is proved forARMAprocesses. The advantage of the PLS criterion defined by Rissanen and Wertz (1985) over the BIC, φ or AIC criteria is that it is an online information criterion obtained by simple calculation. The strong consistency is proved for the case of the maximum likelihood estimator, while in simulations the likelihood estimator is substituted by its recursive maximum likelihood estimator approximation. Repeated simulations show the small sample comparison of the PLS and BIC criteria.
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