Asymptotically efficient selection of the order by the criterion autoregressive transfer function
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Publication:1074279
DOI10.1214/AOS/1176349858zbMath0589.62083OpenAlexW2040322820MaRDI QIDQ1074279
Publication date: 1986
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176349858
predictionspectralestimationasymptotic efficiencyorder selectiongeneralized penalty functionautoregressive transfer function
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
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