select_ar_lag_sic: Select AR lag order by SIC (BIC)

In sdim: An R Package for Supervised Dimension Reduction

Select AR lag order by SIC (BIC)

Description

Selects the lag order for an autoregressive model of the horizon-h target y_{t,h} by minimising the Schwarz Information Criterion.

Usage

select_ar_lag_sic(y, h, p_max)

Arguments

y	Numeric vector of the target variable.
h	Positive integer; forecast horizon. For h = 1 the target is simply y.
p_max	Maximum lag order to consider. The function evaluates p = 0, 1, ..., p_max.

Value

Integer: selected lag order. A value of 0 means the intercept-only model is preferred.

Examples

y <- rnorm(200)
select_ar_lag_sic(y, h = 1, p_max = 4)

sdim documentation built on July 15, 2026, 1:10 a.m.