Asymptotic distribution of the order selected by AIC in multivariate autoregressive model fitting
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Publication:3914266
DOI10.1080/00207178108922913zbMath0463.62080OpenAlexW2055257444MaRDI QIDQ3914266
Publication date: 1981
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207178108922913
Akaike information criterionorder selectionpartial autocorrelation matricesmultivariate autoregressive model fittingPARCOR matrices
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Related Items
Model-structure selection by cross-validation, A NOTE ON AIC ORDER DETERMINATION FOR MULTIVARIATE AUTOREGRESSIONS
Cites Work
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