Consistency of Akaike's Information Criterion for Infinite Variance Autoregressive Processes.
Abstract
Suppose the set x sub n is a p-th order autoregressive process with innovations in the domain of attraction of a stable law and the true order p unknown. The estimate of p,p-carat is chosen to minimize Akaike's Information Criterion over the integers 0,1,..., K. It is shown that p-carat is weakly consistent and the consistency is retained if K approaches infinity as N approaches infinity at a certain rate depending on the index of the stable law.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jan 01, 1987
- Accession Number
- ADA183533
Entities
People
- Keith Knight
Organizations
- University of Washington