The Determination of the Order of an Autoregression
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ID: 290126
1979
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Ranked #125 of 145 articles by views in Journal of the Royal Statistical Society Series B (Statistical Methodology)
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Abstract
Summary It is shown that a strongly consistent estimation procedure for the order of an autoregression can be based on the law of the iterated logarithm for the partial autocorrelations. As compared to other strongly consistent procedures this procedure will underestimate the order to a lesser degree.
| Reference Key |
openalex_W1500470240
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|---|---|
| Authors | E. J. Hannan, Barry G. Quinn |
| Journal | Journal of the Royal Statistical Society Series B (Statistical Methodology) |
| Year | 1979 |
| DOI |
10.1111/j.2517-6161.1979.tb01072.x
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| URL | |
| Keywords | Keywords not found |
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