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...
| Prif Awdur: | |
|---|---|
| Awduron Eraill: | |
| Fformat: | Book section |
| Iaith: | English |
| Cyhoeddwyd: |
Institute of Mathematical Statistics
2006
|
Search Result 1
