Asymptotic efficiency of model selection criteria: the nonzero mean gaussian ar(∞) case |
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Authors: | Alexandros Karagrigoriou |
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Institution: | Department of Mathematics and Statistics , University of Cyprus , P.O. Box. 537, Nicosia, CY, 1678, Cyprus |
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Abstract: | Motivated by Shibata’s (1980) asymptotic efficiency results this paper dis-cusses the asymptotic efficiency of the order selected by a selection procedure for an infinite order autoregressive process with nonzero mean and unob servable errors that constitute a sequence of independent Gaussian random variables with mean zero and variance σ2 The asymptotic efficiency is established for AIC–type selection criteria such as AIC’, FPE, and Sn(k). In addition, some asymptotic results about the estimators of the parameters of the process and the error–sequence are presented. |
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Keywords: | mean squared error of prediction asymptotic efficiency autoregressive processes model selection criteria |
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