Lag order selection for an optimal autoregressive covariance matrix estimator
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DOI: 10.1080/02664760902873969
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Cited by:
- Jie Ding & Vahid Tarokh & Yuhong Yang, 2015. "Bridging AIC and BIC: a new criterion for autoregression," Papers 1508.02473, arXiv.org, revised Aug 2016.
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Keywords
Spectral density; covariance matrix; autoregressive; lag-order selection; statistical inference;All these keywords.
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