The Determination of the Order of an Autoregression
E. J. Hannan(Australian National University), Barry G. Quinn(Australian National University)
Journal of the Royal Statistical Society Series B (Statistical Methodology)
January 1, 1979
Cited by 3,009
Abstract
Summary It is shown that a strongly consistent estimation procedure for the order of an autoregression can be based on the law of the iterated logarithm for the partial autocorrelations. As compared to other strongly consistent procedures this procedure will underestimate the order to a lesser degree.
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