Order estimation for autoregressive models using criteria based on stochastic complexity
In this paper, we are interested in the order estimation of an autoregressive model using the information criterion developed by El Matouat and Hallin (1996), which is based on stochastic complexity. This criterion is a generalization of the Hannan and Quinn criterion and provides a convergence of t...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2024-10-01
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| Series: | Kuwait Journal of Science |
| Subjects: | |
| Online Access: | https://www.sciencedirect.com/science/article/pii/S2307410824000762 |
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