An Improved Divergence Information Criterion for the Determination of the Order of an AR Process

DOI10.1080/03610911003650391zbMath1192.62199OpenAlexW2072946153MaRDI QIDQ3577213

Panagiotis Mantalos, Alex Karagrigoriou, Kyriacos Mattheou

Publication date: 5 August 2010

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610911003650391

zbMATH Keywords

tablesmodel selectioninformation criterionAR processmeasure of divergence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Statistical aspects of information-theoretic topics (62B10)

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