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Biometrika 1989 76(2):297-307; doi:10.1093/biomet/76.2.297
© 1989 by Biometrika Trust
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Regression and time series model selection in small samples

CLIFFORD M. HURVICH and CHIH-LING TSAI

Department of Statistics and Operations Research, New York University New York NY 10003, U.S.A.
Division of Statistics, University of California Davis, California 95616, U.S.A.

A bias correction to the Akaike information criterion, AIC, is derived for regression and autoregressive time series models. The correction is of particular use when the sample size is small, or when the number of fitted parameters is a moderate to large fraction of the sample size. The corrected method, called AICC, is asymptotically efficient if the true model is infinite dimensional. Furthermore, when the true model is of finite dimension, AICC is found to provide better model order choices than any other asymptotically efficient method. Applications to nonstationary autoregressive and mixed autoregressive moving average time series models are also discussed.

Key Words: AIC • Asymptotic efficiency • Kullback-Leibler information


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