Asymptotically efficient selection of the order by the criterion autoregressive transfer function

DOI10.1214/AOS/1176349858zbMath0589.62083OpenAlexW2040322820MaRDI QIDQ1074279

R. J. Bhansali

Publication date: 1986

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176349858

zbMATH Keywords

predictionspectralestimationasymptotic efficiencyorder selectiongeneralized penalty functionautoregressive transfer function

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (12)

On the probability of a model. ⋮ Forecasting ARMA models: a comparative study of information criteria focusing on MDIC ⋮ Asymptotically efficient autoregressive model selection for multistep prediction ⋮ Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series ⋮ Strong consistency of the regularized least-squares estimates of infinite autoregressive models ⋮ Asymptotic efficiency of model selection criteria: the nonzero mean gaussian ar(∞) case ⋮ Automatic selection of a linear predictor through frequency domain cross-validation ⋮ Variable selection strategies in survival models with multiple imputations ⋮ On the advantages of the non-concave penalized likelihood model selection method with minimum prediction errors in large-scale medical studies ⋮ Asymptotically efficient order selection in nonstationary AR processes ⋮ Test of Significance in order selection ⋮ Nonasymptotic bounds for autoregressive time series modeling.

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