Selecting the best model to fit data

T.Graham Freeman

Mathematics and Computers in Simulation (MATCOM), 1985, vol. 27, issue 2, 137-140

Abstract: The paper reviews many of the techniques used to choose the most appropriate model order when fitting a choice of models to available data. The goodness-of-fit test alone is often inadequate, since models with too many parameters can appear to fit the data better, but the improved fit does not carry over to new data on the same process.

Date: 1985
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:27:y:1985:i:2:p:137-140

DOI: 10.1016/0378-4754(85)90032-1

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