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Richard H. Jones
Journal of the American Statistical Association
Vol. 70, No. 351 (Sep., 1975), pp. 590-592
Stable URL: http://www.jstor.org/stable/2285938
Page Count: 3
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When using Akaike's final prediction error (FPE) criterion for selecting the order of an autoregression, it is necessary that the proper estimate of mean square error be used. Replacing an "unbiased" estimate by a "biased" estimate completely changes the properties of the criterion. Simulations carried out by Bhansali are repeated using the proper criterion, and the results show that some of his conclusions are not correct.
Journal of the American Statistical Association © 1975 American Statistical Association