Article ID Journal Published Year Pages File Type
1146121 Journal of Multivariate Analysis 2012 15 Pages PDF
Abstract

We show that Akaike’s Information Criterion (AIC) and its variants are asymptotically efficient in integrated autoregressive processes of infinite order (AR(∞∞)). This result, together with its stationary counterpart established previously in the literature, ensures that AIC can ultimately achieve prediction efficiency in an AR(∞∞) process, without knowing the integration order.

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
Authors
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