Inconsistency of the AIC rule for estimating the order of autoregressive models
R.L. Kashyap · IEEE Transactions on Automatic Control · 1980
We demonstrate the inconsistency of the Akaike information criterion (AIC) rule and its variants for estimating the unknown order of the autoregressive model obeyed by a time series. We also consider the case of time series which tony not obey AR models.