A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION
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Publication:5285834
DOI10.1111/j.1467-9892.1993.tb00144.xzbMath0768.62076OpenAlexW2003068901MaRDI QIDQ5285834
Clifford M. Hurvich, Chih-Ling Tsai
Publication date: 29 June 1993
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00144.x
Monte Carlo resultsAkaike information criterionorder selectionvector autoregressive modelsapproximately unbiased estimatorexpected Kullback-Leibler informationsmall-sample criterion
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