Vector Autoregressive Order Selection in Practice
نویسندگان
چکیده
منابع مشابه
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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The quality of selected AR models depends on the true process in the finite sample practice, on the number of observations, on the estimation algorithm, and on the order selection criterion. Samples are considered to be finite if the maximum candidate model order for selection is greater than 10, where denotes the number of observations. Finite sample formulae give empirical approximations for ...
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ژورنال
عنوان ژورنال: IEEE Transactions on Instrumentation and Measurement
سال: 2009
ISSN: 0018-9456,1557-9662
DOI: 10.1109/tim.2009.2015631