ON THE CHOICE OF THE ORDER OF AUTOREGRESSIVE MODELS: A RANKING AND SELECTION APPROACH

DOI10.1111/J.1467-9892.1984.TB00383.XzbMATH Open0544.62086OpenAlexW2048656173MaRDI QIDQ3333928FDOQ3333928

Authors: Quang Phuc Duong 

Publication date: 1984

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1984.tb00383.x

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zbMATH Keywords

model identificationAkaike's information criterionestimating the order of autoregressive modelssampling variations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical ranking and selection procedures (62F07)

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Cited In (15)

• Title not available (Why is that?)
• Order Choice in Nonlinear Autoregressive Models
• Consistent order selection for noncausal autoregressive models via higher-order statistics
• SIGNIFICANT VARIABLE SELECTION AND AUTOREGRESSIVE ORDER DETERMINATION FOR TIME‐SERIES PARTIALLY LINEAR MODELS
• SELECTING ORDER FOR GENERAL AUTOREGRESSIVE MODELS BY MINIMUM DESCRIPTION LENGTH
• Order selection criteria for vector autoregressive models
• Incorporating lag order selection uncertainty in parameter inference for AR models
• The combination of forecasts: A ranking and subset selection approach
• Twenty-one ML estimators for model selection
• Selection of regression and autoregression models with initial ordering of variables
• Predictive Density Order Selection of Periodic AR Models
• Title not available (Why is that?)
• Backward‐in‐Time Selection of the Order of Dynamic Regression Prediction Model
• The distribution of the run length in CUSUM procedures
• Title not available (Why is that?)

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