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

DOI10.1111/J.1467-9892.1984.TB00383.XMaRDI QIDQ3333928zbMATHOpenAlexFDO

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

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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Cites work

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• A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
• A Combinatorial Lemma and Its Application to Probability Theory
• A Monte Carlo Comparison of the Regression Method and the Spectral Methods of Prediction
• A new look at the statistical model identification
• Estimating the Order of Autoregressive Models: The Max χ 2 Method
• Estimating the dimension of a model
• Fitting Autoregressions
• Fitting autoregressive models for prediction
• On the Statistical Treatment of Linear Stochastic Difference Equations
• On the relation between fitting autoregression and periodogram with applications
• Statistical predictor identification
• Subset Autoregression
• Subset Selection Problems for Variances with Applications to Regression Analysis
• TESTS OF FIT IN TIME SERIES
• The use of factor analysis in the statistical analysis of multiple time series

Cited in

(15)

• The distribution of the run length in CUSUM procedures
• The combination of forecasts: A ranking and subset selection approach
• Predictive Density Order Selection of Periodic AR Models
• Order selection criteria for vector autoregressive models
• scientific article; zbMATH DE number 195188 (Why is no real title available?)
• Backward‐in‐Time Selection of the Order of Dynamic Regression Prediction Model
• Selection of regression and autoregression models with initial ordering of variables
• scientific article; zbMATH DE number 4115784 (Why is no real title available?)
• SIGNIFICANT VARIABLE SELECTION AND AUTOREGRESSIVE ORDER DETERMINATION FOR TIME‐SERIES PARTIALLY LINEAR MODELS
• scientific article; zbMATH DE number 777877 (Why is no real title available?)
• SELECTING ORDER FOR GENERAL AUTOREGRESSIVE MODELS BY MINIMUM DESCRIPTION LENGTH
• Order Choice in Nonlinear Autoregressive Models
• Consistent order selection for noncausal autoregressive models via higher-order statistics
• Twenty-one ML estimators for model selection
• Incorporating lag order selection uncertainty in parameter inference for AR models

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