Finite Sample Properties of ARMA Order Selection
نویسندگان
چکیده
منابع مشابه
Finite sample criteria for autoregressive order selection
The quality of selected AR models depends on the true process in the finite sample practice, on the number of observations, on the estimation algorithm, and on the order selection criterion. Samples are considered to be finite if the maximum candidate model order for selection is greater than 10, where denotes the number of observations. Finite sample formulae give empirical approximations for ...
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ژورنال
عنوان ژورنال: IEEE Transactions on Instrumentation and Measurement
سال: 2004
ISSN: 0018-9456
DOI: 10.1109/tim.2004.827058