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Improved estimators of Kullback-Leibler information for autoregressive model selection in small samples

Authors:	HURVICH, CLIFFORD M. SHUMWAY, ROBERT TSAI, CHIH-LING

Affiliation:	Department of Statistics and Operations Research, New York University 40 West Fourth Street, New York, New York 10003, U.S.A. Division of Statistics, University of California Davis, California 95616, U.S.A.

Abstract:

Keywords:	AIC AIC_C Kullback-Leibler information Time series
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