頁籤選單縮合
題名 | Asymptotic Efficiency of the Order Selection of a Nongaussian AR Process |
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作 者 | Karagrigoriou,Alexandros; | 書刊名 | Statistica Sinica |
卷期 | 7:2 1997.04[民86.04] |
頁次 | 頁407-423 |
分類號 | 319.5 |
關鍵詞 | 自動迴歸程序; 漸近效率; AR processes; Asymptotic efficiency; Brillinger's mixing condition; Model selection criteria; Spectral density; |
語文 | 英文(English) |
英文摘要 | Motivated by Shibata's (1980) asymptotic efficiency results for the order selected for a zero mean Gaussian AR process this paper establishes the asymptotic efficiency of AIC-like model selection criteria for infinite order autoregressive processes with zero mean and unobservable errors that constitute a sequence of nongaussian random variables. Furthermore, from the spectral density point of view, the asymptotic efficiency of AIC-like information criteria is established when the underlying process is an infinite order nonzero mean nongaussian AR process. |
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