On full order autoregressive model fitting

  • Ette Harrison Etuk

Abstract

This is a study of the relative performance of nine automatic autoregressive order determination criteria for full-order modeling using the least squares approach. Of the nine: AIC, FPE, CAT2, S, FPE4, Φ, SIC, BIC and CAT3, we have found the trio, AIC, FPE and CAT3, to be the most consistent. The rest underestimate relatively.

Journal of the Nigerian Association of Mathematical Physics, Volume 15 (November, 2009), pp 117 – 122

Author Biography

Ette Harrison Etuk
Department of Mathematics and Computer Science Rivers State University of Science and Technology Port Harcourt, Nigeria
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Articles

Journal Identifiers


eISSN: 1116-4336