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.
Citation
Ritei Shibata. "An Optimal Autoregressive Spectral Estimate." Ann. Statist. 9 (2) 300 - 306, March, 1981. https://doi.org/10.1214/aos/1176345396
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