Morton, Alex S.; Tunnicliffe-Wilson, Granville - In: Journal of Time Series Analysis 25 (2004) 2, pp. 235-250
We consider regularly sampled processes that have most of their spectral power at low frequencies. A simple example of such a process is used to demonstrate that the standard autoregressive (AR) model, with its order selected by an information criterion, can provide a poor approximation to the...