What is the simplest way to find optimum lag length of a Autoregrssive Process in Matlab? Minimum of AIC, BIC and HIC shuld be used.

05 May 2017 0 9K Report

I have a time series data in Excel which follow autoregressive process. I need a Matlab code to calculate optimum lag length or in a simpler way to find the order of the process. Minimum of Akaike Information Criterion, Hannan–Quinn information criterion and Baysian Information should be used.

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