The Criterion for Autoregressive Model Selection
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چکیده
0 n −1 s t Suppose that there is some true model which generated our time series data, x , . . . , x . Thi rue model is not AR. But we do want to consider using AR models to describe our data, since they a f provide a flexible, estimable, and interpretable class of models. Although the AR models have only ew parameters, the true model presumably has a huge number of parameters (perhaps inf initely many).
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