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Bayesian model selection in Gaussian regression
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Journal of Time Series Analysis, 1986Abstract.The accuracy of least squares fitted regression autoregression models as approximations to more general stochastic structures is considered, attention being paid to the accuracy of the estimates of coefficients, of the innovations sequence and to the behaviour of the order (i.e., maximum lag) as determined by methods such as IAC, BIC.
Hannan, E. J., Kavalieris, L.
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