Accession Number : ADA183533

Title :   Consistency of Akaike's Information Criterion for Infinite Variance Autoregressive Processes.

Descriptive Note : Technical rept.,

Corporate Author : WASHINGTON UNIV SEATTLE DEPT OF STATISTICS

Personal Author(s) : Knight, Keith

PDF Url : ADA183533

Report Date : Jan 1987

Pagination or Media Count : 31

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.

Descriptors :   *REGRESSION ANALYSIS, *CONSISTENCY, VARIATIONS, STABILITY, STATIONARY, RANDOM VARIABLES

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE