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On determination of the order of an autoregressive model

Author

Listed:
  • Bai, Z. D.
  • Subramanyam, K.
  • Zhao, L. C.

Abstract

To determine the order of an autoregressive model, a new method based on information theoretic criterion is proposed. This method is shown to be strongly consistent and the convergence rate of the probability of wrong determination is established.

Suggested Citation

  • Bai, Z. D. & Subramanyam, K. & Zhao, L. C., 1988. "On determination of the order of an autoregressive model," Journal of Multivariate Analysis, Elsevier, vol. 27(1), pages 40-52, October.
    • Handle: RePEc:eee:jmvana:v:27:y:1988:i:1:p:40-52
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    Cited by:

    1. Xavier Guyon & Cécile Hardouin, 2014. "Misparametrization subsets for penalized least squares model selection," Statistical Inference for Stochastic Processes, Springer, vol. 17(3), pages 283-294, October.
    2. Guyon, Xavier & Yao, Jian-feng, 1999. "On the Underfitting and Overfitting Sets of Models Chosen by Order Selection Criteria," Journal of Multivariate Analysis, Elsevier, vol. 70(2), pages 221-249, August.

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