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Summary It is shown that a strongly consistent estimation procedure for the order of an autoregression can be based on the law of the iterated logarithm for the partial autocorrelations. As compared to other strongly consistent procedures this procedure will underestimate the order to a lesser degree.
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Hannan et al. (Mon,) studied this question.
www.synapsesocial.com/papers/69dab43c85037e71b2684cc0 — DOI: https://doi.org/10.1111/j.2517-6161.1979.tb01072.x
E. J. Hannan
Barry G. Quinn
Journal of the Royal Statistical Society Series B (Statistical Methodology)
Australian National University
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