Order selection criteria for vector autoregressive models

DOI10.1016/j.sigpro.2010.09.021zbMath1217.94052OpenAlexW1991061320MaRDI QIDQ551641

Mahmood Karimi

Publication date: 21 July 2011

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sigpro.2010.09.021

zbMATH Keywords

information criterionAICautoregressive processFPEKullback-Leibler index

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Related Items

Measuring connectivity in linear multivariate processes: definitions, interpretation, and practical analysis ⋮ New autoregressive (AR) order selection criteria based on the prediction error estimation

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