It is shown that a strongly consistent estimation procedure for the order of an autoregression can be based on the law of the iterated logarithm for the partial autocorrelations. As compared to other strongly consistent procedures this procedure will underestimate the order to a lesser degree.
|Number of pages||6|
|Journal||Journal of the Royal Statistical Society. Series B: Statistical Methodology|
|Publication status||Published - 1979|
- autoregressive order
- law of iterated logarithm
- strong convergence