Asymptotic distribution of the order selected by AIC in multivariate autoregressive model fitting
- 1 January 1981
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 33 (1) , 175-180
- https://doi.org/10.1080/00207178108922913
Abstract
First, statistical properties of partial autocorrelation matrices of multivariate autoregressive processes are briefly reviewed. Then, using the result, we derive the asymptotic distribution of the order selected by Akaike's information criterion. Contrary to our intuition, the asymptotic probability of selecting the correct order tends to 1 as the number of the variates becomes large.Keywords
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