Order selection for vector autoregressive models

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Order selection for vector autoregressive models

Order-selection criteria for vector autoregressive (AR) modeling are discussed. The performance of an order-selection criterion is optimal if the model of the selected order is the most accurate model in the considered set of estimated models: here vector AR models. Suboptimal performance can be a result of underfit or overfit. The Akaike information criterion (AIC) is an asymptotically unbiase...

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ژورنال

عنوان ژورنال: IEEE Transactions on Signal Processing

سال: 2003

ISSN: 1053-587X

DOI: 10.1109/tsp.2002.806905