DocumentCode
833833
Title
Inconsistency of the AIC rule for estimating the order of autoregressive models
Author
Kashyap, R.L.
Author_Institution
Purdue University, West Lafayette, IN, USA
Volume
25
Issue
5
fYear
1980
fDate
10/1/1980 12:00:00 AM
Firstpage
996
Lastpage
998
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;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1980.1102471
Filename
1102471
Link To Document