January 1, 1979

A Bayesian extension of the minimum AIC procedure of autoregressive model fitting

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Abstract

The proposal of simultaneous use of modified AIC statistics by Bhansali & Downham for the fitting of autoregressive models is reviewed and a Bayesian extension of the minimum AIC procedure is proposed. The practical utility of the procedure is demonstrated by numerical examples.

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Cite This Study

Hirotugu Akaike (Mon,) studied this question.

synapsesocial.com/papers/69dcd94293ad366770e52f46 https://doi.org/https://doi.org/10.1093/biomet/66.2.237

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