Order determination for a multivariate autoregression

Research output: Contribution to journalArticle

Abstract

The procedure proposed by Hannan and Quinn (1979) for determining the order of univariate autoregressions is extended to multivariate autoregressions. The procedure is shown to be strongly consistent, while other similar procedures may be shown to be strongly consistent by comparison.
Original languageEnglish
Pages (from-to)182-185
Number of pages4
JournalJournal of the Royal Statistical Society. Series B: Statistical Methodology
Volume42
Issue number2
Publication statusPublished - 1980
Externally publishedYes

Keywords

  • AIC
  • multivariate autoregression
  • autoregressive order
  • law of iterated logarithm
  • strong consistency

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