Asymptotically efficient autoregressive model selection for multistep prediction

DOI10.1007/BF00050857zbMath0926.62086MaRDI QIDQ1359407

R. J. Bhansali

Publication date: 22 November 1999

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

time seriesAICFPEorder determination

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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