Fitting autoregressive models for prediction
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Cites background from "Fitting autoregressive models for p..."
...This last quantity for the decision has been first introduced by the present author and was considered to be an estimate of the quantity called the final prediction error (FPE) [1, 2]....
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Cites background from "Fitting autoregressive models for p..."
...In 1969 the present author introduced final prediction error (FPE) criterion for the choice of the order of an autoregressive model of a time series (Akaike, 1969, 1970)....
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Cites methods from "Fitting autoregressive models for p..."
...1 The FPE Criterion The FPE criterion was developed by Akaike (1969) to select the appropriate order of an AR process to fit to a time series {X1, ....
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...2 The AICC Criterion A more generally applicable criterion for model selection than the FPE is the information criterion of Akaike (1973), known as the AIC....
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