In this chapter we will focus on the sequence of *N* observations *x*^{N} = (*x*_{l}, ..., *x*_{N}) on a stationary and random process consisting of a family of random variables *X* = {*X*_{n}}_{nZ} distributed according to the same unknown law *θ*. A model *θ _{k}* based on

Even though this criterion of estimation is expressed by a fixed number *k*, it might be tempting to use this criterion to carry out a simultaneous estimation of the model’s parameters and its number of free parameters, which in a written form can be expressed as follows: ...

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