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

17 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.",

keywords = "AIC, martingale central limit theorem, multivariate autoregression, order determination",

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year = "1988",

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language = "English",

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journal = "Journal of Time Series Analysis",

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PY - 1988

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N2 - Abstract. Formulae are obtained for the limiting probability of overestimating the order of a multivariate autoregression when using AIC‐type procedures.

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

KW - AIC

KW - martingale central limit theorem

KW - multivariate autoregression

KW - order determination

UR - https://www.scopus.com/pages/publications/84981462475

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

M3 - Article

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SN - 0143-9782

VL - 9

SP - 241

EP - 245

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

IS - 3

ER -

A note on AIC order determination for multivariate autoregressions

Abstract

Keywords

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