THE CRITERION AUTOREGRESSIVE TRANSFER FUNCTION OF PARZEN
- 1 March 1986
- journal article
- Published by Wiley in Journal of Time Series Analysis
- Vol. 7 (2) , 79-104
- https://doi.org/10.1111/j.1467-9892.1986.tb00487.x
Abstract
A mathematical derivation of the Criterion Autoregressive Transfer Function (CAT) of Parzen (1974) is given and a generalization of this criterion is introduced. The asymptotic distribution of the orders selected by CAT, this generalized criterion, and a new version of CAT introduced by Parzen (1977a) are derived. The joint finite sample behaviour of these three criteria and of the FPEα,‐criterion of Bhansali and Downham (1977) is examined by means of a simulation study.Keywords
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