Finite sample FPE and AIC criteria for autoregressive model order selection using same-realization predictions
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Publication:983765
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Cites work
- A Small Sample Model Selection Criterion Based on Kullback's Symmetric Divergence
- Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
- Autoregressive model order selection by a finite sample estimator for the Kullback-Leibler discrepancy
- On the residual variance and the prediction error for the LSF estimation method and new modified finite sample criteria for autoregressive model order selection
- Order selection for AR models by predictive least squares
- Order selection for same-realization predictions in autoregressive processes
- Statistical predictor identification
Cited in
(5)- Order selection for same-realization predictions in autoregressive processes
- Autoregressive model order selection by a finite sample estimator for the Kullback-Leibler discrepancy
- AR order selection in the case when the model parameters are estimated by forgetting factor least-squares algorithms
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- New autoregressive (AR) order selection criteria based on the prediction error estimation
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