Open AccessChoosing a Model and Strategy of Model Selection by Accumulated Prediction Error
Author(s) -
Mariola Piłatowska
Publication year - 2010
Publication title -
dynamic econometric models
Language(s) - English
Resource type - Journals
eISSN - 2450-7067
pISSN - 1234-3862
DOI - 10.12775/dem.2010.009
Subject(s) - selection (genetic algorithm) , model selection , information criteria , computer science , machine learning , artificial intelligence
The purpose of the paper is to present and apply the accumulative one-step-ahead prediction error (APE) not only as a method (strategy) of model selection, but also as a tool of model selection strategy (meta-selection). The APE method is compared with the information approach to model selection (AIC and BIC information criteria), supported by empirical examples. Obtained results indicated that the APE method may be of considerable practical importance.
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