A NOTE ON AIC ORDER DETERMINATION FOR MULTIVARIATE AUTOREGRESSIONS
- 1 May 1988
- journal article
- Published by Wiley in Journal of Time Series Analysis
- Vol. 9 (3) , 241-245
- https://doi.org/10.1111/j.1467-9892.1988.tb00468.x
Abstract
Formulae are obtained for the limiting probability of overestimating the order of a multivariate autoregression when using AIC‐type procedures.Keywords
This publication has 15 references indexed in Scilit:
- Approximate Efficiency of a Selection Procedure for the Number of Regression VariablesBiometrika, 1984
- On Model Selection and the ARC Sine LawsThe Annals of Statistics, 1982
- Asymptotic distribution of the order selected by AIC in multivariate autoregressive model fittingInternational Journal of Control, 1981
- Some Properties of the Order of an Autoregressive Model Selected by a Generalization of Akaike's EPF CriterionBiometrika, 1977
- Selection of the Order of an Autoregressive Model by Akaike's Information CriterionBiometrika, 1976
- Statistical predictor identificationAnnals of the Institute of Statistical Mathematics, 1970
- Fitting autoregressive models for predictionAnnals of the Institute of Statistical Mathematics, 1969
- On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrixBiometrika, 1963
- The Lindeberg-Levy Theorem for MartingalesProceedings of the American Mathematical Society, 1961
- A Combinatorial Lemma and Its Application to Probability TheoryTransactions of the American Mathematical Society, 1956