On Autoregressive Order Selection Criteria

Abstract

This study investigates the performance of various commonly applied order selection criteria in selecting order of Autoregressive (AR) process. The most important finding of this study is that Akaike's information criterion, Schwarz information criterion, Hannan-Quinn criterion, final prediction error and Bayesian information criterion perform considerably… (More)

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Cite this paper

@inproceedings{KhimSenOnAO, title={On Autoregressive Order Selection Criteria}, author={Venus Khim-Sen and S F Liew} }