Estimation of AR and ARMA models by stochastic complexity

Giurcaneanu, Ciprian; Rissanen, J

dc.contributor.author	Giurcaneanu, Ciprian	en
dc.contributor.author	Rissanen, J	en
dc.contributor.editor	Ho, HC	en
dc.contributor.editor	Ing, CK	en
dc.contributor.editor	Lai, TL	en
dc.date.accessioned	2014-06-05T04:10:35Z	en
dc.date.issued	2006	en
dc.identifier.citation	Time Series and Related Topics: In Memory of Ching-Zong Wei, 2006, 52 pp. 48 - 59	en
dc.identifier.uri	http://hdl.handle.net/2292/22200	en
dc.description.abstract	In this paper the stochastic complexity criterion is applied to estimation of the order in AR and ARMA models. The power of the criterion for short strings is illustrated by simulations. It requires an integral of the square root of Fisher information, which is done by Monte Carlo technique. The stochastic complexity, which is the negative logarithm of the Normalized Maximum Likelihood universal density function, is given. Also, exact asymptotic formulas for the Fisher information matrix are derived.	en
dc.publisher	Institute of Mathematical Statistics	en
dc.relation.ispartof	Time Series and Related Topics: In Memory of Ching-Zong Wei	en
dc.relation.ispartofseries	Institute of Mathematical Statistics Lecture Notes-Monograph Series	en
dc.rights	Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher.	en
dc.rights.uri	https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm	en
dc.title	Estimation of AR and ARMA models by stochastic complexity	en
dc.type	Book Item	en
dc.identifier.doi	10.1214/074921706000000941	en
pubs.begin-page	48	en
pubs.volume	52	en
dc.rights.holder	Copyright: Institute of Mathematical Statistics	en
pubs.author-url	http://projecteuclid.org/euclid.lnms/1196285965	en
pubs.end-page	59	en
pubs.place-of-publication	Beachwood, Ohio, USA	en
dc.rights.accessrights	http://purl.org/eprint/accessRights/RestrictedAccess	en
pubs.elements-id	366414	en
dc.relation.isnodouble	30101	*
pubs.org-id	Science	en
pubs.org-id	Statistics	en
pubs.record-created-at-source-date	2012-12-03	en