THE ESTIMATION OF THE ORDER OF AN AUTOREGRESSION USING RECURSIVE RESIDUALS AND CROSS-VALIDATION

DOI10.1111/j.1467-9892.1989.tb00028.xzbMath0685.62071OpenAlexW1970979216MaRDI QIDQ4203663

Laimonis Kavalieris

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1989.tb00028.x

zbMATH Keywords

cross-validationstationary time seriesmodel identificationautoregressive modellingAkaike information criterion methodsminimizing BICminimizing the sum of squares of recursive residualspredicitve minimizing description length

Mathematics Subject Classification ID

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

Related Items (4)

On Rissanen's predictive stochastic complexity for stationary ARMA processes ⋮ Selecting models with different spectral density matrix structures by the cross-validated log likelihood criterion ⋮ Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series ⋮ Maximized log-likelihood updating and model selection.

Cites Work

• Unnamed Item
• Stochastic complexity and modeling
• Recursive estimation of linear systems
• Model-structure selection by cross-validation

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