Regression and Time Series Model Selection (Hardcover) (ISBN-13: 9789810232429)

This important book describes procedures for selecting a model from a large set of competing statistical models. It includes model selection techniques for univariate and multivariate regression models, univariate and multivariate autoregressive models, nonparametric (including wavelets) and semiparametric regression models, and quasi-likelihood and robust regression models. Information-based model selection criteria are discussed, and small sample and asymptotic properties are presented. The book also provides examples and large scale simulation studies comparing the performances of information-based model selection criteria, bootstrapping, and cross-validation selection methods over a wide range of models.

Author: Allan D. R. McQuarrie,Chih-Ling Tsai
ISBN-10: 981023242X
ISBN-13: 9789810232429
Publisher: World Scientific Publishing Company
Language: English
Published: 06/02/1998
Pages: 480
Format: Hardcover
Weight: 1.71lbs
Size: 8.91h x 6.38w x 1.21d