Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations

DOI10.1111/j.1467-9892.2008.00579.xzbMath1198.62091OpenAlexW2160684943MaRDI QIDQ3552846

Daniela Hristova, Peter Burrtdge

Publication date: 22 April 2010

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00579.x

zbMATH Keywords

consistent order-selection criteriainfinite-variance innovationsunit-root AR processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Analysis of autoregressive models with symmetric stable innovations ⋮ UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS

Cites Work

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• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Lag length estimation in large dimensional systems
• A new look at the statistical model identification

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