On determination of the order of an autoregressive model

DOI10.1016/0047-259X(88)90114-5zbMath0725.62077MaRDI QIDQ2277731

K. Subramanyam, Lin Cheng Zhao, Zhi-Dong Bai

Publication date: 1988

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

time seriesconvergence rateautoregressive modelstrong consistencyorder determinationinformation theoretic criterionprobability of wrong determination

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items

Predictive Density Order Selection of Periodic AR Models ⋮ Misparametrization subsets for penalized least squares model selection ⋮ On the underfitting and overfitting sets of models chosen by order selection criteria.

Cites Work

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• The estimation of the order of an ARMA process
• Fitting autoregressive models for prediction
• Selection of the order of an autoregressive model by Akaike's information criterion
• Probability Inequalities for Sums of Independent Random Variables