Strong consistency of the PLS criterion for order determination of autoregressive processes

DOI10.1214/aos/1176347154zbMath0675.62061OpenAlexW1975057794MaRDI QIDQ1122273

Mark H. A. Davis, Elder Moreira Hemerly

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1214/aos/1176347154

zbMATH Keywords

autoregressive modelsstrong consistencystructure identificationmartingale differenceorder determinationleast mean square prediction errorpredictive least-squares principle

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

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