GENERALIZED INFORMATION CRITERIA IN MODEL SELECTION FOR LOCALLY STATIONARY PROCESSES
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概要
- 論文の詳細を見る
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.
- 日本統計学会の論文
著者
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Taniguchi Masanobu
Department Of Applied Mathematics School Of Fundamental Science And Engineering Waseda University
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Tamaki Kenichiro
School Of Political Science And Economics Waseda University
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Kato Hiroko
Department Of Anesthesia Kobe City General Hospital
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Hirukawa Junichi
Department Of Mathematical Sciences School Of Science & Engineering Waseda University
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