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Maximum likelihood estimates of incorrect Markov models for time series and the derivation of AIC
Yosihiko Ogata
Journal:

Journal of Applied Probability / Volume 17 / Issue 1 / March 1980

Published online by Cambridge University Press:

14 July 2016, pp. 59-72

Print publication:

March 1980
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The asymptotic behavior of the maximum likelihood estimators of Markov models or autoregressive models are given when the true distribution is not a member of the assumed parametric family. The derivation of Akaike's Information Criterion is reviewed for this case.

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Maximum likelihood estimates of incorrect Markov models for time series and the derivation of AIC