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March, 1986 Asymptotically Efficient Selection of the Order by the Criterion Autoregressive Transfer Function
R. J. Bhansali
Ann. Statist. 14(1): 315-325 (March, 1986). DOI: 10.1214/aos/1176349858

Abstract

The autoregressive orders selected by the criterion autoregressive transfer function (CAT) of Parzen (1974), a new version, CAT$^\ast$, of CAT introduced by Parzen (1977), and the CAT$_2$ criterion of Bhansali (1985) are shown to be asymptotically efficient in the sense defined by Shibata (1980, 1981). A generalization of the penalty function considered by Shibata (1980) is introduced. The order selected by the CAT$_\alpha$ criterion of Bhansali (1985), with any fixed $\alpha > 1$, is asymptotically efficient with respect to this generalized penalty function.

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R. J. Bhansali. "Asymptotically Efficient Selection of the Order by the Criterion Autoregressive Transfer Function." Ann. Statist. 14 (1) 315 - 325, March, 1986. https://doi.org/10.1214/aos/1176349858

Information

Published: March, 1986
First available in Project Euclid: 12 April 2007

zbMATH: 0589.62083
MathSciNet: MR829571
Digital Object Identifier: 10.1214/aos/1176349858

Subjects:
Primary: 62M20
Secondary: 62M15

Rights: Copyright © 1986 Institute of Mathematical Statistics

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Vol.14 • No. 1 • March, 1986
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