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REGRESSION AND TIME SERIES MODEL SELECTION
by Allan D R McQuarrie (North Dakota State University) & Chih-Ling Tsai (University of California, Davis)
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.
Contents:
- The Univariate Regression Model
- The Univariate Autoregressive
Model
- The Multivariate Regression Model
- The Vector Autoregressive Model
- Cross-Validation and the Bootstrap
- Robust Regression and Quasi-Likelihood
- Nonparametric Regression and Wavelets
- Simulations and Examples
Readership: Statisticians, biostatisticians, applied mathematicians, engineers
and economists.
"... is a good reference on model selection and a valuable addition to any statistical library. It can be used as a textbook in a graduate level course and will be very useful for someone starting research in this field."
| Journal of the American Statistical Association |
"The presented materials can serve as a reference book for specialists and also as an important resource of information for statisticians dealing with applications."
| 480pp |
Pub. date: Jun 1998 |
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