On a criterion for the selection of models for stationary time series

DOI10.1007/BF01897812zbMath0606.62095MaRDI QIDQ1084820

H. Linhart, P. Volkers

Publication date: 1985

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/176002

zbMATH Keywords

model selectionspectral densityARMA modelsmisspecificationstationary time seriesmodel fitting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On selection of the order of the spectral density model for a stationary process
• The asymptotic distribution of serial covariances
• Alternative models for stationary stochastic processes
• Fitting autoregressive models for prediction
• Statistical predictor identification
• On estimation of the integrals of certain functions of spectral density
• Maximum likelihood estimates of incorrect Markov models for time series and the derivation of AIC
• Some recent advances in time series modeling
• Asymptotic Properties of Non-Linear Least Squares Estimators
• The asymptotic theory of linear time-series models
• An exponential model for the spectrum of a scalar time series

This page was built for publication: On a criterion for the selection of models for stationary time series