A note on AIC order determination for multivariate autoregressions

B. G. Quinn*

*Corresponding author for this work

Research output: Contribution to journalArticle

15 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 languageEnglish
Pages (from-to)241-245
Number of pages5
JournalJournal of Time Series Analysis
Volume9
Issue number3
DOIs
Publication statusPublished - 1988
Externally publishedYes

Keywords

  • AIC
  • martingale central limit theorem
  • multivariate autoregression
  • order determination

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