On determination of the order of an autoregressive model
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Publication:2277731
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)
time series; convergence rate; autoregressive model; strong consistency; order determination; information theoretic criterion; probability of wrong determination
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G10: Stationary stochastic processes
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