Order selection for AR models by predictive least squares
From MaRDI portal
Publication:3798570
DOI10.1109/29.1560zbMath0652.93059OpenAlexW2125929640MaRDI QIDQ3798570
Publication date: 1988
Published in: IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/29.1560
consistencyorder selectionAR modelprediction errors``lattice filter recursionspredictive least squares principle
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)
Related Items
Order selection statistical test for nonstationary AR models, Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series, Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems, Model selection for infinite variance time series, New autoregressive (AR) order selection criteria based on the prediction error estimation, Strongly consistent estimation of the order of stochastic control systems (CARMA model), Recursive order estimation of stochastic control systems, Adaptive time-frequency analysis based on autoregressive modeling, Finite sample FPE and AIC criteria for autoregressive model order selection using same-realization predictions, Autoregressive-output-analysis methods revisited, Model selection and prediction: Normal regression, AR order selection in the case when the model parameters are estimated by forgetting factor least-squares algorithms