论文信息 - Some properties of the order of an autoregressive model selected by a generalization of Akaike∘s EPF criterion

Some properties of the order of an autoregressive model selected by a generalization of Akaike∘s EPF criterion

SUMMARY The asymptotic distribution of the order of an autoregression selected by a generalization of Akaike's FPE criterion is given. Some of the properties of the distribution are investigated. The use of this criterion is illustrated by a simulation study.

R. Bhansali | D. Downham

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