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Accumulative prediction error and the selection of time series models |
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| Authors: | Eric-Jan Wagenmakers,Peter Grü nwald |
| Affiliation: | a Department of Psychology, University of Amsterdam, Roetersstraat 15, 1018 WB Amsterdam, The Netherlands b CWI, Amsterdam, National Research Institute for Mathematics and Computer Science, The Netherlands c Department of Cognitive Sciences, University of California, Irvine, USA |
| Abstract: | |
| Keywords: | Long-range dependence Time series analysis Model selection Prediction error Prequential methods Predictive MDL |
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