May 1, 1988

A Note on AIc Order Determination for Multivariate Autoregressions

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Resumen

Abstract. Formulae are obtained for the limiting probability of overestimating the order of a multivariate autoregression when using AIC‐type procedures.

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Cite This Study

Barry G. Quinn (Sun,) studied this question.

synapsesocial.com/papers/6a1f25abdc489850e072a83e https://doi.org/https://doi.org/10.1111/j.1467-9892.1988.tb00468.x

Also Consider

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1Order Determination for a Multivariate Autoregression1980 · 142 citations
2Approximate efficiency of a selection procedure for the number of regression variables1984 · 83 citations
3The Lindeberg-Levy Theorem for Martingales1961 · 92 citations
4On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix1963 · 384 citations
5The Lindeberg-Lévy theorem for martingales1961 · 277 citations

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