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Volumn 30, Issue 3, 2009, Pages 409-416

Comparison of criteria for estimating the order of autoregressive process: A Monte Carlo approach

Author keywords

Criteria; Information; Monte Carlo; Performance; Simulation

Indexed keywords


EID: 67249095701     PISSN: 1450216X     EISSN: 1450202X     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (17)

References (14)
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  • 2
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    • Paper presented at the ASA annual meeting, August 11-15, 2002, New York
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    • (2002)
    • Al-Subaihi, A.A.1
  • 4
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    • The Determination of the Order of an Autoregression
    • Hannan, E.J and Quinn B.G (1979): "The Determination of the Order of an Autoregression", JRSS, B41, 190-195.
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    • Hannan, E.J.1    Quinn, B.G.2
  • 5
    • 84984431826 scopus 로고
    • Comparison of Criteria for estimating the Order of a Vector Autoregressive Process
    • Lutkepohl, H. (1985): "Comparison of Criteria for estimating the Order of a Vector Autoregressive Process" Journal of Time Series Analysis vol. 6, 35 - 36, 47, 50.
    • (1985) Journal of Time Series Analysis , vol.6
    • Lutkepohl, H.1
  • 7
    • 84974379623 scopus 로고
    • A note on autoregressive modeling
    • Poskitt, D.S (1994). A note on autoregressive modeling, Econometric Theory, vol.10, 884-890
    • (1994) Econometric Theory , vol.10 , pp. 884-890
    • Poskitt, D.S.1
  • 8
    • 85069250221 scopus 로고
    • A Comparison of Order estimation Procedures for ARMA Models
    • Pötscher, B.M & Srinivasan, S. (1991). "A Comparison of Order estimation Procedures for ARMA Models" Annals of Statistics 3, 20 - 21.
    • (1991) Annals of Statistics , vol.3 , pp. 20-21
    • Pötscher, B.M.1    Srinivasan, S.2
  • 9
    • 0018015137 scopus 로고
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    • Rissanen, J.1
  • 10
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    • On the accuracy and asymptotic convergence of widely used estimators for autoregressive models
    • Salau, M.O (2002): "On the accuracy and asymptotic convergence of widely used estimators for autoregressive models", Advances in Modeling and Analysis 2, 1-18.
    • (2002) Advances in Modeling and Analysis , vol.2 , pp. 1-18
    • Salau, M.O.1
  • 11
    • 0017657558 scopus 로고
    • Some Properties of the Order of an Autoregressive model selected by the Generalization of Akaike's EPF Criterion
    • doi:10.1093/biomet/64.3.547
    • Shibata (1976): "Some Properties of the Order of an Autoregressive model selected by the Generalization of Akaike's EPF Criterion" Biometrika 1977 64(3):547-551; doi:10.1093/biomet/64.3.547.
    • (1977) Biometrika , vol.64 , Issue.3 , pp. 547-551
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  • 12
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    • Selection of the Order of an Autoregressive Mode by Akaike Information Criterion
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    • Shibata1
  • 13
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    • Estimating the Dimension of a Model
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  • 14
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    • Comments on Model Selection Criteria of Akaike and Swartz
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.