Model selection for integrated autoregressive processes of infinite order

DOI10.1016/j.jmva.2011.10.008zbMath1236.62105OpenAlexW2079238725MaRDI QIDQ765828

Chor-Yiu Sin, Shu-Hui Yu, Ching-Kang Ing

Publication date: 22 March 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.10.008

zbMATH Keywords

asymptotic efficiencymean squared prediction errorintegrated AR\((\infty )\) processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (7)

Consistent order selection for ARFIMA processes ⋮ Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems ⋮ Consistent model selection criteria and goodness-of-fit test for common time series models ⋮ On consistency for time series model selection ⋮ Model averaging prediction for time series models with a diverging number of parameters ⋮ Order selection for possibly infinite-order non-stationary time series ⋮ On asymptotic risk of selecting models for possibly nonstationary time-series

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