Selection of a Multistep Linear Predictor for Short Time Series

@inproceedings{Hurvich2003SelectionOA,
  title={Selection of a Multistep Linear Predictor for Short Time Series},
  author={Clifford M. Hurvich and Chih-Ling Tsai},
  year={2003}
}
We develop a version of the Corrected Akaike Information Criterion (AICC) suitable for selection of an h-step-ahead linear predictor for a weakly stationary time series in discrete time. A motivation for this criterion is provided in terms of a generalized Kullback-Leibler information which is minimized at the optimal h-step predictor, and which is… CONTINUE READING