Bootstrap autoregressive order selection
نویسندگان
چکیده
منابع مشابه
Order selection of autoregressive models
This correspondence addreskes the problem of order determination of autoregressive models by Bayesian predictive densities. A criterion is derived employing noninformative prior densities of the model parameters. The form of the obtained criterion coincides with that of Rissanen in 1161. Simulation results are presented which demonstrate the good performance of the criterion, and comparisons wi...
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ژورنال
عنوان ژورنال: Statistics & Decisions
سال: 2006
ISSN: 0721-2631
DOI: 10.1524/stnd.2006.24.3.305