Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach

DOI10.1007/s00184-020-00799-7zbMath1472.62137OpenAlexW3093511543MaRDI QIDQ2044767

Kai Yang, De-Hui Wang, Xin-Yang Wang

Publication date: 10 August 2021

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-020-00799-7

zbMATH Keywords

nonparametric estimationoracle propertiesinteger-valued time seriespenalized maximum quasi-likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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