A note on AIC order determination for multivariate autoregressions

B. G. Quinn

doi:10.1111/j.1467-9892.1988.tb00468.x

A note on AIC order determination for multivariate autoregressions

B. G. Quinn^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

16 Citations (Scopus)

Abstract

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

Original language	English
Pages (from-to)	241-245
Number of pages	5
Journal	Journal of Time Series Analysis
Volume	9
Issue number	3
DOIs	https://doi.org/10.1111/j.1467-9892.1988.tb00468.x
Publication status	Published - 1988
Externally published	Yes

Keywords

AIC
martingale central limit theorem
multivariate autoregression
order determination

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10.1111/j.1467-9892.1988.tb00468.x

Cite this

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title = "A note on AIC order determination for multivariate autoregressions",

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

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year = "1988",

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PY - 1988

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

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KW - martingale central limit theorem

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KW - order determination

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DO - 10.1111/j.1467-9892.1988.tb00468.x

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JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

SN - 0143-9782

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ER -

A note on AIC order determination for multivariate autoregressions

Abstract

Keywords

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