Article ID Journal Published Year Pages File Type
1155304 Statistics & Probability Letters 2006 8 Pages PDF
Abstract
In this note, we propose a small-sample criterion KICc for selecting vector autoregressive models. KICc is an approximately unbiased estimator of the expected Kullback's symmetric divergence. A simulation study shows that KICc provides better model order choices than the KIC criterion in small samples.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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