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- Publisher
- Oxford University Press
- Copyright
- © Royal Statistical Society
- ISSN
- 1369-7412
- eISSN
- 1467-9868
- DOI
- 10.1111/j.2517-6161.1979.tb01072.x
- Publisher site
- See Article on Publisher Site
Abstract
It is shown that a strongly consistent estimation procedure for the order of an autoregression can be based on the law of the iterated logarithm for the partial autocorrelations. As compared to other strongly consistent procedures this procedure will underestimate the order to a lesser degree.
Journal
Journal of the Royal Statistical Society Series B (Statistical Methodology) – Oxford University Press
Published: Jan 1, 1979
Keywords: ; ; ; ;