The determination of the order of an autoregression

E. J. Hannan, Barry G. Quinn

Research output: Contribution to journalArticlepeer-review

Abstract

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.
Original languageEnglish
Pages (from-to)190-195
Number of pages6
JournalJournal of the Royal Statistical Society. Series B: Statistical Methodology
Volume41
Issue number2
Publication statusPublished - 1979
Externally publishedYes

Keywords

  • autoregression
  • autoregressive order
  • AIC
  • law of iterated logarithm
  • strong convergence

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