SELECTING ORDER FOR GENERAL AUTOREGRESSIVE MODELS BY MINIMUM DESCRIPTION LENGTH

Dawei Huang

Journal of Time Series Analysis, 1990, vol. 11, issue 2, 107-119

Abstract: Abstract. In this paper we put forward some criteria for estimating the order for general autoregressive (AR) models (i.e. AR models without any constraint about the roots of the characteristic polynomial) according to the minimum description length. Different criteria are given for different kinds of AR models because the convergence rates are different. It is proved that all the estimates for the order are strongly consistent.

Date: 1990
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https://doi.org/10.1111/j.1467-9892.1990.tb00045.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:11:y:1990:i:2:p:107-119

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