Model selection for infinite variance time series

DOI10.1080/03610929508831529zbMath0825.62314OpenAlexW2087188527MaRDI QIDQ4843863

Richard Glendinning

Publication date: 17 August 1995

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929508831529

zbMATH Keywords

model selectioninfinite variancerobust estimationautoregressive processpredictive criteria

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Determining the order of an arm a model from outlier contaminated data ⋮ Identifying infinite variance arma models using a robust pukk1la koreisha kallinen strategy

Cites Work

• Local asymptotic admissibility of a generalization of Akaike's model selection rule
• M-estimation for autoregression with infinite variance
• On predictive least squares principles
• Semi-parametric estimation of a stationary, non-necessary causal AR(P) process with infinite variance
• A Predictive Least-Squares Principle
• SELECTING ORDER FOR GENERAL AUTOREGRESSIVE MODELS BY MINIMUM DESCRIPTION LENGTH
• A derivation of the information criteria for selecting autoregressive models
• Model-structure selection by cross-validation
• Order selection for AR models by predictive least squares
• Regression and time series model selection in small samples
• A Method for Simulating Stable Random Variables
• Minimum error dispersion linear filtering of scalar symmetric stable processes
• A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
• The consistency of the L₁norm estimates in arma models
• "Infinite Variance" and Research Strategy in Time Series Analysis

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