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