An improved divergence information criterion for the determination of the order of an ar process

Communications in Statistics: Simulation and Computation

Volumn 39, Issue 5, 2010, Pages 865-879

  Mantalos, P ^a   Mattheou, K ^b   Karagrigoriou, A ^b  

^a LUND UNIVERSITY   (Sweden)

^b UNIVERSITY OF CYPRUS   (Cyprus)

Author keywords

AR process; Information criterion; Measure of divergence; Model selection

Indexed keywords

AUTO REGRESSIVE PROCESS; INFORMATION CRITERION; MODEL SELECTION; PROCESS INFORMATION; SAMPLE SIZES; UNBIASED ESTIMATOR;

TIME SERIES;

MONTE CARLO METHODS;

EID: 77952391452     PISSN: 03610918     EISSN: 15324141     Source Type: Journal    
DOI: 10.1080/03610911003650391     Document Type: Article

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