A new auto-regressive order selection algorithm

MaRDI QIDQ2714871zbMATH OpenFDO

Authors M. Karimi, M. H. Bastani

Publication date 17 August 2001

Published in Scientia Iranica (Search for Journal in Brave)

zbMATH Keywords

auto-regressive modelsHilbert space conceptsorder selection

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Finite sample criteria for autoregressive model order selection
• New autoregressive (AR) order selection criteria based on the prediction error estimation
• A comparative study of AR order selection methods
• ESTIMATION OF AUTOREGRESSIVE PARAMETERS AND ORDER SELECTION FOR ARMA MODELS
• scientific article; zbMATH DE number 922654

Cited in

(2)

• Finite sample criteria for autoregressive model order selection
• New autoregressive (AR) order selection criteria based on the prediction error estimation

This page was built for publication: A new auto-regressive order selection algorithm

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2714871)