Selecting models with different spectral density matrix structures by the cross-validated log likelihood criterion

DOI10.3150/bj/1145993973zbMath1098.62118OpenAlexW2055997814MaRDI QIDQ850743

Yoshihiro Yajima, Howell Tong, Yasumasa Matsuda

Publication date: 6 November 2006

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1145993973

zbMATH Keywords

consistencymodel selectionperiodogramKullback-Leibler divergenceconditional independencemultivariate time seriesgraphical modelspectral density matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of graph theory (05C90) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

Time series graphical Lasso and sparse VAR estimation ⋮ Chi‐squared portmanteau tests for structural VARMA models with uncorrelated errors ⋮ On nonparametric and semiparametric testing for multivariate linear time series

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