頁籤選單縮合
題名 | A Bootstrap Variant of AIC for State-Space Model Selection |
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作者 | Cavanaugh,Joseph E.; Shumway,Robert H.; | 書刊名 | Statistica Sinica |
卷期 | 7:2 1997.04[民86.04] |
頁次 | 頁473-496 |
分類號 | 319.5 |
關鍵詞 | 信息論; 時間序列; 狀態空間模式選取; Information theory; Kullback-Leibler information; Time series; |
語文 | 英文(English) |
英文摘要 | Following in the recent work of Hurvich and Tsai (1989, 1991, 1993) and Hurvich, Shumway, and Tsai (1990), we propose a corrected variant of AIC developed for the purpose of small-sample state-space model selection. Our variant of AIC utilizes bootstrapping in the state-space framework (Stoffer and Wall (1991)) to provide an estimate of the expected Kullback-Leibler discrepancy between the model generating the data and a fitted approximating model. We present simulation results which demonstrate that in small-sample settings, our criterion estimates the expected discrepancy with less bias than traditional AIC and certain other competitors. As a result, our AIC variant serves as an effective tool for selecting a model of appropriate dimension. We present an asymptotic justification for our criterion in the Appendix. |
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