Information criterion of seriously over-fitting change-point models

DOI10.4310/SII.2017.v10.n2.a14zbMath1388.62263MaRDI QIDQ1748647

Chun Yip Yau, Chi Tim Ng

Publication date: 14 May 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

consistencyBayesian information criterioncausal processARMA-GARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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