Model selection for integrated autoregressive processes of infinite order

Journal of Multivariate Analysis

Volumn 106, Issue , 2012, Pages 57-71

  Ing, Ching Kang ^a   Sin, Chor yiu ^b   Yu, Shu Hui ^c  

^a INSTITUTE OF STATISTICAL SCIENCE   (Taiwan)

^b NATIONAL TSING HUA UNIVERSITY   (Taiwan)

^c NATIONAL UNIVERSITY OF KAOHSIUNG   (Taiwan)

Author keywords

Asymptotic efficiency; Integrated AR( ) processes; Mean squared prediction error; Model selection

Indexed keywords

EID: 84855768222     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2011.10.008     Document Type: Article

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