ON THE PROBABILITY OF ERROR WHEN USING A GENERAL AKAIKE-TYPE CRITERION TO ESTIMATE AUTOREGRESSION ORDER

DOI10.1111/J.1467-9892.1993.TB00150.XMaRDI QIDQ3141187zbMATH OpenOpenAlexFDO

Authors J. D. Hart, Peter Hall

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

zbMATH Keywords

information criteriaweak consistencyoverestimationAR(1) processtime series modellingadditive penaltyconstant of proportionalityautoregression ordergeneral Akaike-type procedureprobability of underestimating orderproperties of error probabilities

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10)

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Cites work

• A method for the derivation of limit theorems for sums of m-dependent random variables
• An objective use of Bayesian models
• Estimating the dimension of a model
• Fitting autoregressive models for prediction
• Modeling by shortest data description
• Non-Uniform Estimates, Moderate and Large Deviations in the Central Limit Theorem form-Dependent Random Variables
• On the Relationship Between the S Array and the Box-Jenkins Method of ARMA Model Identification
• The estimation of the order of an ARMA process

Cited in

(2)

• The order of the error term for moments of the log likelihood ratio unit root test in an autoregressive process
• Asymptotic Probabilities of Over-estimating and Under-estimating the Order of a Model in General Regular Families

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