Order selection of a multivariate autoregressive model by a modification of the FPE criterion (Q3030073)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Order selection of a multivariate autoregressive model by a modification of the FPE criterion |
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Order selection of a multivariate autoregressive model by a modification of the FPE criterion (English)
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1987
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final prediction error criterion
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order selection
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FPE criterion
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autoregressive model fitting
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multivariate cases
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mean quadratic loss
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one-step-ahead prediction error
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Asymptotic properties
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computer simulations
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