Order determination in general vector autoregressions.

In the application of autoregressive models the order of the model is often estimated using either a sequence of likelihood ratio tests or a likelihood based information criterion. The consistency of such procedures has been discussed extensively under the assumption that the characteristic roots of...

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Detaylı Bibliyografya
Yazar: Nielsen, B
Diğer Yazarlar: Ho, H
Materyal Türü: Book section
Dil:English
Baskı/Yayın Bilgisi: Institute of Mathematical Statistics 2006