A derivation of the information criteria for selecting autoregressive models

DOI10.2307/1427304MaRDI QIDQ3729863zbMATHOpenAlexFDO

Authors 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

informationAICAkaike information criterionKullback-Leiblerautoregressive processloss functionrisk 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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