Bridging AIC and BIC: A New Criterion for Autoregression
Bridging AIC and BIC: A New Criterion for Autoregression
To address order selection for an autoregressive model fitted to time series data, we propose a new information criterion. It has the benefits of the two well-known model selection techniques: the Akaike information criterion and the Bayesian information criterion. When the data are generated from a finite-order autoregression, the Bayesian …