Order selection for same-realization predictions in autoregressive processes
نویسندگان
چکیده
منابع مشابه
Order Selection for the Same-realization Prediction in Autoregressive Processes
PREDICTION IN AUTOREGRESSIVE PROCESSES C. K. ING AND C. Z. WEI National Taipei University and Academia Sinica Abstract Assume observations are generated from an infinite-order autoregressive (AR) process. Shibata (1980) considered the problem of choosing a finite-order AR model, allowing the order to become infinite as the number of observations does in order to obtain a better approximation. H...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2005
ISSN: 0090-5364
DOI: 10.1214/009053605000000525