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A NOTE ON AIC ORDER DETERMINATION FOR MULTIVARIATE AUTOREGRESSIONS

A NOTE ON AIC ORDER DETERMINATION FOR MULTIVARIATE AUTOREGRESSIONS Abstract. Formulae are obtained for the limiting probability of overestimating the order of a multivariate autoregression when using AIC‐type procedures. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Time Series Analysis Wiley

A NOTE ON AIC ORDER DETERMINATION FOR MULTIVARIATE AUTOREGRESSIONS

Journal of Time Series Analysis , Volume 9 (3) – May 1, 1988

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References (12)

Publisher
Wiley
Copyright
Copyright © 1988 Wiley Subscription Services, Inc., A Wiley Company
ISSN
0143-9782
eISSN
1467-9892
DOI
10.1111/j.1467-9892.1988.tb00468.x
Publisher site
See Article on Publisher Site

Abstract

Abstract. Formulae are obtained for the limiting probability of overestimating the order of a multivariate autoregression when using AIC‐type procedures.

Journal

Journal of Time Series AnalysisWiley

Published: May 1, 1988

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