This criterion only operates well when the data can be assumed Normal, and even then it tends to permit too many parameters. Other criteria also exist. Automatic methods Exponential smoothing. This form leads to simple updating equations. The smoothing parameter may be estimated, but small variations tend not to make much difference.
More advanced versions exist to cope with trends and seasonal variation.
Possible scenarios Multivariate time series may arise in a number of ways. In this case we expect high correlation between the series. Alternatively, they could all depend on some fundamental underlying quantity. Thus different forms of investment strategy will depend on the base lending rate. In this case X and Y are said to be cointegrated .