%0 Journal Article %1 shibata_consistency_1986 %A Shibata, Ritei %D 1986 %J Journal of Applied Probability %K AIC, BIC, Hannan Quinn, and model selection %P 127 -- 141 %R 10.2307/3214348 %T Consistency of model selection and parameter estimation %U http://www.jstor.org/stable/3214348 %V 23 %X The relationship between consistency of model selection and that of parameter estimation is investigated. It is shown that the consistency of model selection is achieved at the cost of a lower order of consistency of the resulting estimate of parameters in some domain. The situation is different when selecting autoregressive moving average models, since the information matrix becomes singular when overfitted. Some detailed analyses of the consistency are given in this case.

@article{shibata_consistency_1986, abstract = {The relationship between consistency of model selection and that of parameter estimation is investigated. It is shown that the consistency of model selection is achieved at the cost of a lower order of consistency of the resulting estimate of parameters in some domain. The situation is different when selecting autoregressive moving average models, since the information matrix becomes singular when overfitted. Some detailed analyses of the consistency are given in this case.}, added-at = {2017-01-09T13:57:26.000+0100}, author = {Shibata, Ritei}, biburl = {https://www.bibsonomy.org/bibtex/25a72cd0617208dd2c7a0287a9bea8f02/yourwelcome}, copyright = {Copyright 1986 Applied Probability Trust}, doi = {10.2307/3214348}, interhash = {b102c9c6aeb967eb9a527c44bdb10d8c}, intrahash = {5a72cd0617208dd2c7a0287a9bea8f02}, issn = {0021-9002}, journal = {Journal of Applied Probability}, keywords = {AIC, BIC, Hannan Quinn, and model selection}, language = {English}, month = jan, pages = {127 -- 141}, timestamp = {2017-01-09T14:01:11.000+0100}, title = {Consistency of model selection and parameter estimation}, url = {http://www.jstor.org/stable/3214348}, urldate = {2016-06-29}, volume = 23, year = 1986 }