On the Estimation of Residual Variance and Order in Autoregressive Time Series

Estimating the Dimension of a Model

1978 • 43,634 citations

Information Theory and an Extension of the Maximum Likelihood Principle

1998 • 16,234 citations

An Introduction to Multivariate Statistical Analysis

1986 • 9,529 citations

Introduction to Multivariate Statistical Analysis.

1959 • 3,939 citations

The Determination of the Order of an Autoregression

1979 • 2,841 citations

Introduction to Statistical Time Series.

1977 • 2,373 citations

Maximum entropy spectral analysis

1967 • 2,015 citations

Multiple time series

1970 • 1,885 citations

The Statistical Analysis of Time Series.

1972 • 1,286 citations

Selection of the order of an autoregressive model by Akaike's information criterion

1976 • 782 citations

A Bayesian extension of the minimum AIC procedure of autoregressive model fitting

1979 • 576 citations

Asymptotically Efficient Selection of the Order of the Model for Estimating Parameters of a Linear Process

1980 • 563 citations

A new autoregressive spectrum analysis algorithm

1980 • 435 citations

Multichannel Time Series Analysis with Digital Computer Programs.

1968 • 269 citations

Some properties of the order of an autoregressive model selected by a generalization of Akaike∘s EPF criterion

1977 • 211 citations

Bias of some commonly-used time series estimates

1983 • 148 citations

Order Determination for a Multivariate Autoregression

1980 • 136 citations

Covariance Characterization by Partial Autocorrelation Matrices

1978 • 98 citations

Effects of Not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction—I

1981 • 74 citations

A Study of Autoregressive and Window Spectral Estimation

1981 • 62 citations

Asymptotic prediction mean squared error for vector autoregressive models

1979 • 52 citations

MULTIVARIATE AUTOREGRESSION ESTIMATION USING RESIDUALS

1978 • 49 citations

Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1

1981 • 41 citations

Asymptotic Properties of Prediction Errors for the Multivariate Autoregressive Model Using Estimated Parameters

1980 • 41 citations

EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES

1982 • 22 citations

On the Bias in Estimates of Forecast Mean Squared Error

1981 • 18 citations