A Bayesian extension of the minimum AIC procedure of autoregressive model fitting

1979/01/01 by Hirotugu Akaike · 3 citations
Mathematics · Computer Science · #Statistical Methods and Inference #Statistical Methods and Bayesian Inference #Bayesian Methods and Mixture Models #Mathematics #Autoregressive model #Extension (predicate logic) #Bayesian probability #STAR model #Statistics #Bayesian information criterion #Applied mathematics #Econometrics #Autoregressive integrated moving average #Time series #Computer science

paper · doi:10.1093/biomet/66.2.237

openalex publication_date 1979/01/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05

Abstract

The proposal of simultaneous use of modified AIC statistics by Bhansali & Downham for the fitting of autoregressive models is reviewed and a Bayesian extension of the minimum AIC procedure is proposed. The practical utility of the procedure is demonstrated by numerical examples.

Citations

• A new look at the statistical model identification

Cited by

• Contributions of Professor Hirotugu Akaike in Statistical Science
• Likelihood of a model and information criteria
• Hirotugu Akaike [wikipedia]