Order selection for same-realization predictions in autoregressive processes

DOI10.1214/009053605000000525zbMath1086.62105arXivmath/0602326OpenAlexW2094597214WikidataQ56390561 ScholiaQ56390561MaRDI QIDQ2368859

Ching-Zong Wei, Ching-Kang Ing

Publication date: 28 April 2006

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

Full work available at URL: https://arxiv.org/abs/math/0602326

zbMATH Keywords

asymptotic efficiency

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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