Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models

DOI10.1007/s11203-015-9123-zzbMath1356.62151OpenAlexW788491997MaRDI QIDQ300778

Célestin C. Kokonendji, Yacouba Boubacar Maïnassara

Publication date: 29 June 2016

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-015-9123-z

zbMATH Keywords

identificationinformation criterionorder selection

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Goodness-of-fit tests for SPARMA models with dependent error terms ⋮ Estimating weak periodic vector autoregressive time series ⋮ Portmanteau tests for periodic ARMA models with dependent errors ⋮ Estimation of weak ARMA models with regime changes ⋮ Estimating FARIMA models with uncorrelated but non-independent error terms

Uses Software

• R

Cites Work

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