THE CRITERION AUTOREGRESSIVE TRANSFER FUNCTION OF PARZEN

Abstract. A mathematical derivation of the Criterion Autoregressive Transfer Function (CAT) of Parzen (1974) is given and a generalization of this criterion is introduced. The asymptotic distribution of the orders selected by CAT, this generalized criterion, and a new version of CAT introduced by Parzen (1977a) are derived. The joint finite sample behaviour of these three criteria and of the FPE_α,-criterion of Bhansali and Downham (1977) is examined by means of a simulation study.