ON THE PROBABILITY OF ERROR WHEN USING A GENERAL AKAIKE-TYPE CRITERION TO ESTIMATE AUTOREGRESSION ORDER
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Publication:3141187
DOI10.1111/j.1467-9892.1993.tb00150.xzbMath0780.62066MaRDI QIDQ3141187
Publication date: 2 February 1994
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00150.x
weak consistency; overestimation; information criteria; AR(1) process; time series modelling; additive penalty; constant of proportionality; autoregression order; general Akaike-type procedure; probability of underestimating order; properties of error probabilities
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F10: Large deviations
Cites Work
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