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Biometrika 1976 63(1):117-126; doi:10.1093/biomet/63.1.117
© 1976 by Biometrika Trust
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Selection of the order of an autoregressive model by Akaike's information criterion

RITEI SHIBATA

Department of Mathematics, Tokyo Institute of Technology

The asymptotic distribution is obtained of the order of regression selected by Akaike's information criterion in autoregressive models. The asymptotic quadratic risks of estimates of regression parameters are evaluated when the order is selected by this method. Some results of computational experiments are given.

Key Words: Authoregressive process • Identification • Maximum likelihood • Random walk


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