Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
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Publication:1135600
DOI10.1214/aos/1176344897zbMath0425.62069WikidataQ100560579 ScholiaQ100560579MaRDI QIDQ1135600
Publication date: 1980
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176344897
asymptotic lower bound; mean squared error of prediction; infinite order autoregressive process; asymptotically efficient selection; linear stationary process
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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