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Exit times for multivariate autoregressive processes

โœ Scribed by Jung, Brita


Book ID
121922632
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
205 KB
Volume
123
Category
Article
ISSN
0304-4149

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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