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

DOI10.1080/03610911003650391zbMath1192.62199MaRDI QIDQ3577213

Alex Karagrigoriou, Kyriacos Mattheou, Panagiotis Mantalos

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

tables; model selection; information criterion; AR process; measure of divergence

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

65C05: Monte Carlo methods

62B10: Statistical aspects of information-theoretic topics

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