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Determining the Order of Differencing in Autoregressive Processes

โœ Scribed by David A. Dickey and Sastry G. Pantula


Book ID
124697418
Publisher
American Statistical Association
Year
1987
Tongue
English
Weight
242 KB
Volume
5
Category
Article
ISSN
0735-0015

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Order Determination for Multivariate Aut
โœ Changhua Chen; Richard A. Davis; Peter J. Brockwell ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 411 KB

Let X 1 , ..., X n be observations from a multivariate AR( p) model with unknown order p. A resampling procedure is proposed for estimating the order p. The classical criteria, such as AIC and BIC, estimate the order p as the minimizer of the function where n is the sample size, k is the order of t