On determination of the order of an autoregressive model

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.

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Year of publication:	1988
Authors:	Bai, Z. D. ; Subramanyam, K. ; Zhao, L. C.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 27.1988, 1, p. 40-52
Publisher:	Elsevier
Keywords:	autoregressive model convergence rate strong consistency time series

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221380