Consistency of minimum description length model selection for piecewise stationary time series models
type: Item
instance of: scholarly article
title: Consistency of minimum description length model selection for piecewise stationary time series models
zbMATH Open document ID: 1337.62254
DOI: 10.1214/13-EJS769
author: Richard A. Davis
author: Chun Yip Yau
published in: Electronic Journal of Statistics
publication date: 2013-05-29T00:00:00Z
full work available at URL: https://projecteuclid.org/euclid.ejs/1359564355
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F12
zbMATH DE Number: 6167941
zbMATH Keywords: GARCH
zbMATH Keywords: minimum description length (MDL) principle
zbMATH Keywords: multiple change points
zbMATH Keywords: non-stationary time series
zbMATH Keywords: piecewise-stationary processes
MaRDI profile type: Publication
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OpenAlex ID: W2013776580
description: scientific article; zbMATH DE number 6167941