文章基本信息

标题：Generalized Information Criteria in Model Selection for Locally Stationary Processes
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作者：Junichi Hirukawa ; Hiroko Solvang Kato ; Kenichiro Tamaki 等
期刊名称：JOURNAL OF THE JAPAN STATISTICAL SOCIETY
印刷版ISSN：1882-2754
电子版ISSN：1348-6365
出版年度：2008
卷号：38
期号：1
页码：157-171
DOI：10.14490/jjss.38.157
出版社：JAPAN STATISTICAL SOCIETY
摘要：The problem of fitting a parametric model of time series with time varying parameters attracts our attention. We evaluate a goodness of time varying spectral models from an information theoretic point of view. We propose model selection criteria for locally stationary processes based on nonlinear functionals of a time varying spectral density without assuming that the true time varying spectral density belongs to the model. Also, we obtain a sufficient condition such that our information criteria coincide with Akaike's information criterion.
关键词：Generalized information criterion;locally stationary process;minimum distance estimation;misspecified models;time varying spectral density