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The effect on order determination is also studied, and we extend the results on overestimation of the AIC criterion to the general multivariate case. For strongly autocorrelated processes, Yule-Walker estimates of residual variance and order may be severely biased even for comparatively large sample sizes.<\/jats:p>","DOI":"10.1111\/j.2517-6161.1985.tb01348.x","type":"journal-article","created":{"date-parts":[[2018,12,7]],"date-time":"2018-12-07T06:40:31Z","timestamp":1544164831000},"page":"216-228","source":"Crossref","is-referenced-by-count":24,"title":["On the Estimation of Residual Variance and Order in Autoregressive Time Series"],"prefix":"10.1093","volume":"47","author":[{"given":"Jostein","family":"Paulsen","sequence":"first","affiliation":[{"name":"University of Bergen , Norway"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Dag","family":"Tj\u00f8stheim","sequence":"additional","affiliation":[{"name":"University of Bergen , Norway"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"286","published-online":{"date-parts":[[2018,12,5]]},"reference":[{"key":"2024090922044538000_rssb01348-cit-0001","first-page":"267","article-title":"Information theory and an extension of the maximum likelihood principle","volume-title":"2nd International Symposium of Information Theory","author":"Akaike","year":"1973"},{"key":"2024090922044538000_rssb01348-cit-0002","doi-asserted-by":"crossref","first-page":"237","DOI":"10.1093\/biomet\/66.2.237","article-title":"A Bayesian extension of the minimum AIC procedure of autoregressive model fitting","volume":"66","author":"Akaike","year":"1979","journal-title":"Biometrika"},{"key":"2024090922044538000_rssb01348-cit-0003","volume-title":"An Introduction to Multivariate Statistical Analysis.","author":"Anderson","year":"1958"},{"key":"2024090922044538000_rssb01348-cit-0004","volume-title":"The Statistical Analysis of Time Series.","author":"Anderson","year":"1971"},{"key":"2024090922044538000_rssb01348-cit-0005","doi-asserted-by":"crossref","first-page":"569","DOI":"10.1080\/01621459.1981.10477688","article-title":"On the bias in estimates of forecast mean squared error","volume":"76","author":"Ansley","year":"1981","journal-title":"J. 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