Browsing by Subject "Model selection criteria"
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Article
Asymptotic efficiency of the order selection of a nongaussian AR process
(1997)Motivated by Shibata's (1980) asymptotic efficiency results for the order selected for a zero mean Gaussian AR process this paper establishes the asymptotic efficiency of AIC-like model selection criteria for infinite order ...
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Article
Asymptotically efficient order selection in nonstationary AR processes
(2000)In this paper we investigate the issue of asymptotic efficiency in nonstationary AR(∞) processes. Since the inverse of the autocovariance matrix of the underlying process cannot be evaluated due to the fact that the matrix ...