Skip navigation
Skip navigation

Vector Autoregressive Model-Order Selection From Finite Samples Using Kullback's Symmetric Divergence

Seghouane, Abd-Krim


In this paper, a new small-sample model selection criterion for vector autoregressive (VAR) models is developed. The proposed criterion is named Kullback information criterion (KICvc), where the notation vc stands for vector correction, and it can be considered as an extension of the KIC, for VAR models. KICvc adjusts KIC to be an unbiased estimator for the variant of the Kullback symmetric divergence, assuming that the true model is correctly specified or overfitted. Furthermore, KICvc...[Show more]

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
Source: IEEE Transactions on Circuits and Systems 1:FUNDAMENTAL THEORY AND APPLICATIONS
DOI: 10.1109/TCSI.2006.883158


File Description SizeFormat Image
01_Seghouane_Vector_Autoregressive_2006.pdf375.82 kBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  20 July 2017/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator