Resampling for Order Estimation of Autoregressive Models with Missing Data

In this article, we consider the order estimation of autoregressive models with incomplete data using the expectation–maximization (EM) algorithm-based information criteria. The criteria take the form of a penalization of the conditional expectation of the log-likelihood. The evaluation of the penalization term generally involves numerical differentiation and matrix inversion. We introduce a simplification of the penalization term for autoregressive model selection and we propose a penalty factor based on a resampling procedure in the criteria formula. The simulation results show the improvements yielded by the proposed method when compared with the classical information criteria for model selection with incomplete data.