A NOTE ON AIC ORDER DETERMINATION FOR MULTIVARIATE AUTOREGRESSIONS
From MaRDI portal
Publication:3821443
DOI10.1111/j.1467-9892.1988.tb00468.xzbMath0668.62064MaRDI QIDQ3821443
Publication date: 1988
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1988.tb00468.x
martingale central limit theorem; order determination; limiting probability; multivariate autoregression; AIC-type procedures; random walk results
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Related Items
Cites Work
- Unnamed Item
- On model selection and the arc sine laws
- Fitting autoregressive models for prediction
- Statistical predictor identification
- A Combinatorial Lemma and Its Application to Probability Theory
- Asymptotic distribution of the order selected by AIC in multivariate autoregressive model fitting
- The Lindeberg-Levy Theorem for Martingales
- On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix