SELECTION OF ARX MODELS ESTIMATED BY THE PENALIZED WEIGHTED LEAST SQUARES METHOD
SELECTION OF ARX MODELS ESTIMATED BY THE PENALIZED WEIGHTED LEAST SQUARES METHOD
We consider the selection problem of auto-regressive time-series models with eXogeneous variables (ARX) estimated by Penalized Weighted Least Squares (PWLS) method.AIC and BIC are developed based on the maximum likelihood estimation.Therefore, in this research, we evaluate GIC for the ARX models estimated by PWLS.In a numerical experiment, the model selected …