About this document
Novo Critério para Seleção de Modelos Autoregressivos by ricardoloureirosoare is a document available to read on EtoBox.
This document proposes a new information criterion for selecting the order of an autoregressive model fitted to time series data. It aims to have the benefits of two established model selection techniques: the Akaike Information Criterion (AIC) and the Bayesian Information Criterion (BIC). When the data are generated from a finite order autoregression, the BIC is known to be consistent, as is the new proposed criterion. When the true order is infinite or high relative to the sample size, the AIC is known to
- Author
- ricardoloureirosoare
- Language
- EN