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Order Determination for Multivariate Autoregressive Processes Using Resampling Methods

Listed author(s):
  • Chen, Changhua
  • Davis, Richard A.
  • Brockwell, Peter J.
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    LetX1, ..., Xnbe observations from a multivariate AR(p) model with unknown orderp. A resampling procedure is proposed for estimating the orderp. The classical criteria, such as AIC and BIC, estimate the orderpas the minimizer of the function[formula]wherenis the sample size,kis the order of the fitted model, [Sigma]2kis an estimate of the white noise covariance matrix, andCnis a sequence of specified constants (for AIC,Cn=2m2/n, for Hannan and Quinn's modification of BIC,Cn=2m2(ln ln n)/n, wheremis the dimension of the data vector). A resampling scheme is proposed to estimate an improved penalty factorCn. Conditional on the data, this procedure produces a consistent estimate ofp. Simulation results support the effectiveness of this procedure when compared with some of the traditional order selection criteria. Comments are also made on the use of Yule-Walker as opposed to conditional least squares estimations for order selection.

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    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 57 (1996)
    Issue (Month): 2 (May)
    Pages: 175-190

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    Handle: RePEc:eee:jmvana:v:57:y:1996:i:2:p:175-190
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