Autoregressive model order selection by a finite sample estimator for the Kullback-Leibler discrepancy

DOI10.1109/78.700984zbMath0978.94008OpenAlexW2155492977MaRDI QIDQ2724245

H. Einar Wensink, Piet M. T. Broersen

Publication date: 10 July 2001

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9f83900876f9f5b2e99c0c4b58060abccce7d97b

zbMATH Keywords

autoregressive time seriesestimatorKullback-Leibler discrepancyfinite sample information criterion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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