Finite sample criteria for autoregressive model order selection
From MaRDI portal
Recommendations
- Finite sample FPE and AIC criteria for autoregressive model order selection using same-realization predictions
- New autoregressive (AR) order selection criteria based on the prediction error estimation
- Order selection for AR models by predictive least squares
- A new auto-regressive order selection algorithm
- Autoregressive model order selection by a finite sample estimator for the Kullback-Leibler discrepancy
Cited in
(9)- AR order selection in the case when the model parameters are estimated by forgetting factor least-squares algorithms
- Asymptotically efficient selection of the order by the criterion autoregressive transfer function
- A new auto-regressive order selection algorithm
- Autoregressive model order selection by a finite sample estimator for the Kullback-Leibler discrepancy
- ON THE CHOICE OF THE ORDER OF AUTOREGRESSIVE MODELS: A RANKING AND SELECTION APPROACH
- scientific article; zbMATH DE number 4115784 (Why is no real title available?)
- Order selection criteria for vector autoregressive models
- New autoregressive (AR) order selection criteria based on the prediction error estimation
- Finite sample FPE and AIC criteria for autoregressive model order selection using same-realization predictions
This page was built for publication: Finite sample criteria for autoregressive model order selection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5422189)
