Order Selection in Vector Autoregression by Mean Square Information Criterion

arXiv — stat.MLWednesday, November 26, 2025 at 5:00:00 AM
  • A new study proposes the mean square information criterion (MIC) for order selection in vector autoregressive (VAR) models, addressing limitations of existing methods like AIC, BIC, and Hannan-Quinn criteria. The research indicates that MIC can consistently estimate the true order of VAR processes under mild conditions, outperforming traditional methods, especially in smaller dimensions.
  • This development is significant as it enhances the accuracy of VAR model fitting, which is crucial in fields such as economics, finance, and biology. Improved order selection methods can lead to better predictive models and insights, potentially influencing decision-making processes in these sectors.
— via World Pulse Now AI Editorial System

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