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George Xanthos, Kostantinos Gilas and Dikaios Tserkezos
''Temporal Aggregation and the Akaike and Schwarz Model Selection Criteria. Some Monte Carlo Results''
( 2007, Vol. 28 No.8 )
This short paper demonstrates that the use of temporally aggregated data may affect the performance of the well known Akaike and Schwarz model selection criteria. These two criteria are widely used for model selection in linear and nonlinear models. Using Monte Carlo techniques, we find that temporal aggregation could affect seriously the performance of the two aforementioned criteria.
Manuscript Received : Oct 04 2007 Manuscript Accepted : Oct 08 2007

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