Inconsistency of the AIC rule for estimating the order of autoregressive models
IEEE Transactions on Automatic ControlPublished 1 October 1980
R.L. Kashyap
Citations169
SJR quartileQ1
SJR score3.80
SNIP2.59
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TL;DR
The inconsistency of the Akaike information criterion (AIC) rule and its variants for estimating the unknown order of the autoregressive model obeyed by a time series is demonstrated.
Abstract
We demonstrate the inconsistency of the Akaike information criterion (AIC) rule and its variants for estimating the unknown order of the autoregressive model obeyed by a time series. We also consider the case of time series which tony not obey AR models.
Keywords
Computer ScienceEconomics, Econometrics and FinanceEngineering
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