ON THE UNBIASEDNESS PROPERTY OF AIC FOR EXACT OR APPROXIMATING LINEAR STOCHASTIC TIME SERIES MODELS

DOI10.1111/j.1467-9892.1985.tb00412.xzbMath0602.62079MaRDI QIDQ3738436

David F. Findley

Publication date: 1985

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1985.tb00412.x

zbMATH Keywords

asymptotic bias; Akaike information criterion; spectral density; AIC; autoregressive moving average model; stationary time series; ARMA(p,q); asymptotically unbiased; invertible, Gaussian ARMA (p,q) model; log maximum likelihood; logarithmic likelihood functions

Mathematics Subject Classification ID

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

Related Items

Fitting time series models to nonstationary processes, AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models., A large-sample model selection criterion based on Kullback's symmetric divergence

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