The Determination of the Order of an Autoregression
- 1 January 1979
- journal article
- research article
- Published by Oxford University Press (OUP) in Journal of the Royal Statistical Society Series B: Statistical Methodology
- Vol. 41 (2) , 190-195
- https://doi.org/10.1111/j.2517-6161.1979.tb01072.x
Abstract
Summary: It is shown that a strongly consistent estimation procedure for the order of an autoregression can be based on the law of the iterated logarithm for the partial autocorrelations. As compared to other strongly consistent procedures this procedure will underestimate the order to a lesser degree.Keywords
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