Finite sample effects in vector autoregressive modeling
نویسندگان
چکیده
منابع مشابه
Finite sample effects in vector autoregressive modeling
In vector autoregressive modeling, the order selected with the Akaike Information Criterion tends to be too high. This effect is called overfit. Finite sample effects are an important cause of overfit. By incorporating finite sample effects, an order selection criterion for vector AR models can be found with an optimal trade-off of underfit and overfit. The finite sample formulae in this paper ...
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ژورنال
عنوان ژورنال: IEEE Transactions on Instrumentation and Measurement
سال: 2002
ISSN: 0018-9456
DOI: 10.1109/tim.2002.806039