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Model selection is a problem of judging which model from some set performs best. Popular methods include $R^2$, AIC and BIC criteria, test sets, and cross-validation. To some extent, feature selection is a subproblem of model selection.

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I modified this question to be more specific. I'm fitting a ARIMA-GARCH model to my hedge fund index daily log return series. I used ACF, PACF, Ljung-Box test and Archtest to check for autocorrelati …
asked Jun 18 '17 by nahsel