Order selection of a multivariate autoregressive model by a modification of the FPE criterion

DOI10.1080/00207178708933752zbMath0626.62093OpenAlexW2149615628MaRDI QIDQ3030073

Shigemi Tagami, Junji Nakano

Publication date: 1987

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207178708933752

zbMATH Keywords

computer simulationsorder selectionAsymptotic propertiesFPE criterionautoregressive model fittingfinal prediction error criterionmultivariate casesmean quadratic lossone-step-ahead prediction error

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Cites Work

• Fitting autoregressive models for prediction
• Selection of the order of an autoregressive model by Akaike's information criterion
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