On same-realization prediction in an infinite-order autoregressive process
نویسندگان
چکیده
منابع مشابه
Order Selection for the Same-realization Prediction in Autoregressive Processes
PREDICTION IN AUTOREGRESSIVE PROCESSES C. K. ING AND C. Z. WEI National Taipei University and Academia Sinica Abstract Assume observations are generated from an infinite-order autoregressive (AR) process. Shibata (1980) considered the problem of choosing a finite-order AR model, allowing the order to become infinite as the number of observations does in order to obtain a better approximation. H...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2003
ISSN: 0047-259X
DOI: 10.1016/s0047-259x(02)00029-5