An Optimal Autoregressive Spectral Estimate
The Annals of Statistics · 1981 · Volume 9 · Issue 2
Abstract
An asymptotic lower bound is obtained for the integrated relative squared error of autoregressive spectral estimate when the order of autoregression is selected. The bound is attained in the limit by the same selection as has been proposed for prediction.
Keywords
62M10, 62M15, Autoregression, Model selection, Spectral estimate
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