Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146121 | Journal of Multivariate Analysis | 2012 | 15 Pages |
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
Ching-Kang Ing, Chor-yiu Sin, Shu-Hui Yu,