Order selection for same-realization predictions in autoregressive processes

Ing, Ching-Kang, Wei, Ching-Zong . The Annals of Statistics 2005. 33 (5) :2423-2474

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Bibtex

@article{CIS-205241,
  Author = {Ing, Ching-Kang and Wei, Ching-Zong},
  Title = {Order selection for same-realization predictions in autoregressive processes},
  Journal = {The Annals of Statistics},
  Volume = {33},
  Number = {5},
  Year = {2005},
  Pages = {2423--2474},
  Keywords = {Asymptotic efficiency, Autoregressive process, Order selection, 62M10 (MSC2000), 60M20 (MSC2000), same-realization prediction, Akaike’s information criterion}
}

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