Billah, Md B.; Hyndman, R.J.; Koehler, A.B. - Department of Econometrics and Business Statistics, … - 2003
In this paper, we propose a new Empirical Information Criterion (EIC) for model selection which penalizes the likelihood of the data by a function of the number of parameters in the model. It is designed to be used where there are a large number of time series to be forecast. However, a...