Strong consistency of the PLS criterion for order determination of autoregressive processes
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Publication:1122273
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
autoregressive modelsstrong consistencystructure identificationmartingale differenceorder determinationleast mean square prediction errorpredictive least-squares principle
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)
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