Model selection for infinite variance time series (Q4843863): Difference between revisions

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+https://doi.org/10.1080/03610929508831529
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+W2087188527
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+A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
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+A derivation of the information criteria for selecting autoregressive models
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+A Method for Simulating Stable Random Variables
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+M-estimation for autoregression with infinite variance
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+Semi-parametric estimation of a stationary, non-necessary causal AR(P) process with infinite variance
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+SELECTING ORDER FOR GENERAL AUTOREGRESSIVE MODELS BY MINIMUM DESCRIPTION LENGTH
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+Regression and time series model selection in small samples
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+The consistency of the L<sub>1</sub>norm estimates in arma models
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+A Predictive Least-Squares Principle
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+Model-structure selection by cross-validation
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+Order selection for AR models by predictive least squares
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+On predictive least squares principles
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