Title :
Inconsistency of the AIC rule for estimating the order of autoregressive models
Author_Institution :
Purdue University, West Lafayette, IN, USA
fDate :
10/1/1980 12:00:00 AM
Abstract :
We demonstrate the inconsistency of the Akaike information criterion (AIC) rule and its variants for estimating the unknown order of the autoregressive model obeyed by a time series. We also consider the case of time series which tony not obey AR models.
Keywords :
Autoregressive processes; Decision procedures; System identification; Constraint optimization; Filtering; Maximum likelihood detection; Noise measurement; Nonlinear filters; State estimation; Stochastic systems; Technological innovation; Time measurement; Time varying systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1980.1102471
