This paper is concerned with model selection in time series analysis. An identification criterion is presented that is asymptotically equivalent to a Bayes decision rule. The discussion is conducted in the context of a general class of parametric time series models and consideration is given to the special case of order determination in autoregressive moving-average representations. Consistency of the criterion is proved.
"A Bayes Procedure for the Identification of Univariate Time Series Models." Ann. Statist. 14 (2) 502 - 516, June, 1986. https://doi.org/10.1214/aos/1176349935