使用有效判定准则的模型辨识
Model identification using the Efficient Determination Criterion
摘要：
在模型选择领域，赤池和施瓦茨的信息准则，AIC和BIC，已经成功地应用了几十年的模型阶数识别。有效判定准则（EDC）是这些准则的推广，最初被提出来定义多个马尔可夫链的依赖次序的强相容估计类。在这项工作中，EDC推广到部分嵌套模型，其中包括许多其他的顺序识别问题。在此一般环境下，基于一定的假设，建立了一类强相合估计。该框架被应用到BEKK多元Gesterday模型，特别是，基于BIC的顺序估计的强相合性建立这些模型。
英文摘要：
In the realm of the model selection context, Akaike's and Schwarz's information criteria, AIC and BIC, have been applied successfully for decades for model order identification. The Efficient Determination Criterion (EDC) is a generalization of these criteria, proposed originally to define a strongly consistent class of estimators for the dependency order of a multiple Markov chain. In this work, the EDC is generalized to partially nested models, which encompass many other order identification problems. Based on some assumptions, a class of strongly consistent estimators is established in this general environment. This framework is applied to BEKK multivariate GARCH models and, in particular, the strong consistency of the order estimator based on BIC is established for these models.
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