Akaike’s information criterion correction for the least-squares autoregressive spectral estimator

DOI10.1111/j.1467-9892.2010.00719.xzbMath1273.62211OpenAlexW1908952198MaRDI QIDQ2851987

Evangelos E. Ioannidis

Publication date: 4 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00719.x

zbMATH Keywords

AICorder selectionAICCAR(p)least squares autoregressive fitwhittle discrepancy

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Statistical aspects of information-theoretic topics (62B10)

Cites Work

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• Further analysis of the data by Akaike's information criterion and the finite corrections

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