Asymptotic efficiency of model selection criteria: the nonzero mean gaussian ar(∞) case

DOI10.1080/03610929508831530zbMath0825.62309OpenAlexW2075224789MaRDI QIDQ4843864

Alex Karagrigoriou

Publication date: 17 August 1995

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929508831530

zbMATH Keywords

asymptotic efficiencyautoregressive processesmodel selection criteriamean squared error of prediction

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

On Efficient AR Spectral Estimation for Long-Range Predictions ⋮ Asymptotically efficient order selection in nonstationary AR processes

Cites Work

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• Regression and time series model selection in small samples
• Some recent advances in time series modeling
• Selection of the order of an autoregressive model by Akaike's information criterion

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