Sequential model selection method for nonparametric autoregression

DOI10.1080/07474946.2019.1686883zbMath1430.62075arXiv1809.02241OpenAlexW3003678345MaRDI QIDQ5215360

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Publication date: 10 February 2020

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.02241

zbMATH Keywords

model selectionnonparametric estimationnonparametric autoregressionsharp oracle inequalitiesrobust risknonasymptotic estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Sequential estimation (62L12)

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

Cites Work

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