The asymptotic distribution is obtained of the order of regression selected by Akaike's information criterion in autoregressive models. The asymptotic quadratic risks of estimat...
Let $\\{x_t\\}$ be a linear stationary process of the form $x_t + \\Sigma_{1\\leqslant i<\\infty}a_ix_{t-i} = e_t$, where $\\{e_t\\}$ is a sequence of i.i.d. normal random va...
An asymptotically optimal selection of regression variables is proposed. The key assumption is that the number of control variables is infinite or increases with the sample size...
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