Some properties of the order of an autoregressive model selected by a generalization of Akaike∘s EPF criterion
Rupal J. Bhansali, David Y. Downham · Biometrika · 1977
The asymptotic distribution of the order of an autoregression selected by a generalization of Akaike∘s FPE criterion is given. Some of the properties of the distribution are investigated. The use of this criterion is illustrated by a simulation study.