On consistency for time series model selection

DOI10.1007/s11203-022-09284-6arXiv2201.13273OpenAlexW4312198412MaRDI QIDQ6166021

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Publication date: 6 July 2023

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

Full work available at URL: https://arxiv.org/abs/2201.13273

zbMATH Keywords

model selectionweak consistencystrong consistencyminimum contrast estimationpenalized contrastcausal processesmultivariate count time seriesnon consistency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical ranking and selection procedures (62F07)

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