Abstract
The asymptotic distribution is obtained of the order of regression selected by Akaike's information criterion in autoregressive models. The asymptotic quadratic risks of estimates of regression parameters are evaluated when the order is selected by this method. Some results of computational experiments are given.
Keywords
Akaike information criterionMathematicsAutoregressive modelBayesian information criterionModel selectionStatisticsInformation CriteriaSelection (genetic algorithm)Applied mathematicsStepwise regressionSTAR modelEconometricsAutoregressive integrated moving averageTime seriesArtificial intelligence
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Publication Info
- Year
- 1976
- Type
- article
- Volume
- 63
- Issue
- 1
- Pages
- 117-126
- Citations
- 778
- Access
- Closed
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Cite This
Ritei Shibata
(1976).
Selection of the order of an autoregressive model by Akaike's information criterion.
Biometrika
, 63
(1)
, 117-126.
https://doi.org/10.1093/biomet/63.1.117
Identifiers
- DOI
- 10.1093/biomet/63.1.117