Consistent model selection criteria and goodness-of-fit test for common time series models

DOI10.1214/20-EJS1709zbMath1434.62180arXiv1907.09762OpenAlexW3022759377MaRDI QIDQ2180087

Kare Kamila, Jean-Marc Bardet, William Charky Kengne

Publication date: 13 May 2020

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.09762

zbMATH Keywords

consistencymodel selectionBICportmanteau testaffine causal processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (11)

Inference and model selection in general causal time series with exogenous covariates ⋮ Consistent order selection for ARFIMA processes ⋮ General Hannan and Quinn criterion for common time series ⋮ Strongly consistent model selection for general causal time series ⋮ Consistent model selection procedure for general integer-valued time series ⋮ Epidemic change-point detection in general causal time series ⋮ Weakly consistent offline clustering of ARMA processes ⋮ Laplace's method and BIC model selection for least absolute value criterion ⋮ On consistency for time series model selection ⋮ Optimal estimating function for weak location‐scale dynamic models ⋮ A residual bootstrap for conditional value-at-risk

Uses Software

• CAPUSHE

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