Selection of weak VARMA models by modified Akaike's information criteria
نویسندگان
چکیده
منابع مشابه
Selection of weak VARMA models by modified Akaike’s information criteria
This article considers the problem of order selection of the vector autoregressive moving-average models and of the sub-class of the vector autoregressive models under the assumption that the errors are uncorrelated but not necessarily independent. We propose a modified version of the AIC (Akaike information criterion). This criterion requires the estimation of the matrice involved in the asymp...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2011
ISSN: 0143-9782
DOI: 10.1111/j.1467-9892.2011.00746.x