A derivation of the information criteria for selecting autoregressive models

DOI10.2307/1427304zbMath0596.62082OpenAlexW4231716860MaRDI QIDQ3729863

R. J. Bhansali

Publication date: 1986

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427304

zbMATH Keywords

informationloss functionAkaike information criterionAICKullback-Leiblerautoregressive processrisk functionorder determinationasymptotically unbiased estimatorAIC(alpha)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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An automatic portmanteau test for serial correlation ⋮ Model selection for infinite variance time series ⋮ Genetic algorithms for the identification of additive and innovation outliers in time series ⋮ Model selection in orthogonal regression ⋮ AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.

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