What is the difference between AIC and BIC while building ARIMA model ?

Question

Please explain with any suitable example

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Xtramous 4 years 1 Answer 556 views Contributor 0

Answer ( 1 )

  1. The AIC tries to select the model that most adequately describes an unknown, high dimensional reality. This means that reality is never in the set of candidate models that are being considered. On the contrary, BIC tries to find the TRUE model among the set of candidates.

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