Order selection for AR models by predictive least squares

DOI10.1109/29.1560MaRDI QIDQ3798570zbMATH OpenOpenAlexFDO

Authors Mati Wax

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

zbMATH Keywords

``lattice filter recursionsAR modelconsistencyorder selectionprediction errorspredictive least squares principle

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)

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(27)

• AR order selection in the case when the model parameters are estimated by forgetting factor least-squares algorithms
• Strong consistency of the PLS criterion for order determination of autoregressive processes
• Strongly consistent estimation of the order of stochastic control systems (CARMA model)
• Model selection and prediction: Normal regression
• Autoregressive-output-analysis methods revisited
• Selecting optimal multistep predictors for autoregressive processes of unknown order.
• A IV based criterion for model order selection
• Model selection by sequentially normalized least squares
• Order selection statistical test for nonstationary AR models
• Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
• Universal linear prediction by model order weighting
• The SHQC criterion for order selection in autoregressive models
• Recursive order estimation of stochastic control systems
• Relations between information criteria for model-structure selection Part 3. Strong consistency of the predictive least squares criterion
• SELECTING ORDER FOR GENERAL AUTOREGRESSIVE MODELS BY MINIMUM DESCRIPTION LENGTH
• Predictive Density Order Selection of Periodic AR Models
• scientific article; zbMATH DE number 18072 (Why is no real title available?)
• An Improvement of Akaike's FPE Criterion to Reduce its Variability
• Model selection for infinite variance time series
• Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems
• Autoregressive model selection based on a prediction perspective
• Finite sample criteria for autoregressive model order selection
• Adaptive time-frequency analysis based on autoregressive modeling
• Incorporating lag order selection uncertainty in parameter inference for AR models
• New autoregressive (AR) order selection criteria based on the prediction error estimation
• Selection of the regression model order
• Finite sample FPE and AIC criteria for autoregressive model order selection using same-realization predictions

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