Vector Autoregressive Model-Order Selection From Finite Samples Using Kullback's Symmetric Divergence

DOI10.1109/TCSI.2006.883158MaRDI QIDQ4590510zbMATH OpenOpenAlexWikidataFDO

Authors Abd-Krim Seghouane

Publication date 20 November 2017

Published in IEEE Transactions on Circuits and Systems I: Regular Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tcsi.2006.883158

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of information, entropy (94A17)

Cited in

(7)

• An improved divergence information criterion for the determination of the order of an AR process
• Bootstrapping the augmented Dickey-Fuller test for unit root using the MDIC
• Order selection criteria for vector autoregressive models
• Is first-order vector autoregressive model optimal for fMRI data?
• Model selection for vector autoregressive processes via adaptive lasso
• A divergence test for autoregressive time series models
• Identification of directed influence: Granger causality, Kullback-Leibler divergence, and complexity

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