# Order selection for same-realization predictions in autoregressive processes

@article{Ing2005OrderSF, title={Order selection for same-realization predictions in autoregressive processes}, author={Ching-Kang Ing and Ching-Zong Wei}, journal={Annals of Statistics}, year={2005}, volume={33}, pages={2423-2474} }

Assume that observations are generated from an infinite-order autoregressive [AR(∞)] process. Shibata [Ann. Statist. 8 (1980) 147-164] considered the problem of choosing a finite-order AR model, allowing the order to become infinite as the number of observations does in order to obtain a better approximation. He showed that, for the purpose of predicting the future of an independent replicate, Akaike's information criterion (AIC) and its variants are asymptotically efficient. Although Shibata's…

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