Order determination for multivariate autoregressive processes using resampling methods

Journal of Multivariate Analysis

Volumn 57, Issue 2, 1996, Pages 175-190

  Chen, Changhua ^b   Davis, Richard A ^b   Brockwell, Peter J ^a  

^a RMIT UNIVERSITY   (Australia)

^b NONE

Author keywords

AIC; Multivariate autoregressive processes; Order determination; Resampling; Yule Walker estimation

Indexed keywords

EID: 16144366218     PISSN: 0047259X     EISSN: None     Source Type: Journal    
DOI: 10.1006/jmva.1996.0028     Document Type: Article

References (9)

1. AKAIKE, H. (1969). Fitting autoregressive models for prediction. Ann. Inst. Statist. Math. 21 243-247.
2. BROCKWELL, P. J., AND DAVIS, R. A. (1991). Time Series: Theory and Methods. Springer-Verlag, New York.
3. CHEN, C., DAVIS, R. A., BROCKWELL, P. J., AND BAI, Z. D. (1993). Order determination for autoregressive processes using resampling methods. Statistica Sinica 3 481-500.
4. HANNAN, E. J. (1970). Multiple Time Series. J. Wiley, New York.
5. HANNAN, E. J., AND DEISTLER, M. (1988). The Statistical Theory of Linear Systems. Wiley, New York.
6. HANNAN, E. J., AND QUINN, B. G. (1979). The determination of the order of an autoregression. J. R. Statist. Soc. B. 41 (2) 190-195.
7. HURVICH, C. M., AND TSAI, C. L. (1989). Regression and time series model selection in small samples. Biometrika 76 (2) 297-307.
8. HURVICH, C. M., AND TSAI, C. L. (1991). A corrected Akaike information criterion for vector autoregresive model selection. J. Time Series Anal. 14 271-280.
9. LÜTKEPOHL, H. (1991). Introduction to Multiple Time Series Analysis. Springer-Verlag, Berlin.