Vector Autoregressive Model-Order Selection From Finite Samples Using Kullback's Symmetric Divergence
DOI10.1109/TCSI.2006.883158zbMATH Open1377.62031OpenAlexW2125503037WikidataQ118322233 ScholiaQ118322233MaRDI QIDQ4590510FDOQ4590510
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
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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