(AIC) in its theoretical derivation and yet can be applied to any model able to generate simulated or predicted data …, regardless of its methodology. Both the AIC and proposed UIC rely on the Kullback-Leibler (KL) distance between model predictions … and real data as a measure of prediction accuracy. Instead of using the maximum likelihood approach like the AIC, the …

(AIC) in its theoretical derivation and yet can be applied to any model able to generate simulated or predicted data …, regardless of its methodology. Both the AIC and proposed UIC rely on the Kullback-Leibler (KL) distance between model predictions … and real data as a measure of prediction accuracy. Instead of using the maximum likelihood approach like the AIC, the …

liquidity changes very frequently. A method relying on the AIC is proposed to quickly react to market changes and therefore …

. We propose a modified version of the AIC (Akaike information criterion). This criterion requires the estimation of the … show that the proposed modified criterion estimates the model orders more accurately than the standard AIC and AICc … (corrected AIC) in large samples and often in small samples. …

liquidity changes very frequently. A method relying on the AIC is proposed to quickly react to market changes and therefore …