Consistent order selection for ARFIMA processes (Q2148974): Difference between revisions

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+Modified information criteria and selection of long memory time series models
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+Consistent model selection criteria and goodness-of-fit test for common time series models
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+Q4865042
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+On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes
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+Generalized autoregressive conditional heteroscedasticity
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+Moment bounds and mean squared prediction errors of long-memory time series
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+Uniform moment bounds of Fisher's information with applications to time series
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+Consistent order estimation for linear stochastic feedback control systems (CARMA model)
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+The estimation of the order of an ARMA process
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+A method for autoregressive-moving average estimation
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+Recursive estimation of mixed autoregressive-moving average order
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+Fractional Invariance Principle
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+Gaussian pseudo-maximum likelihood estimation of fractional time series models
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+Estimation of nonstationary ARMAX models based on the Hannan-Rissanen method
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+Model selection for integrated autoregressive processes of infinite order
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+Order selection for same-realization predictions in autoregressive processes
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+Testing for change points in time series models and limiting theorems for NED sequences
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+NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE  GARCH(<i>r</i>,<i>s</i>) AND ASYMMETRIC POWER  GARCH(<i>r</i>,<i>s</i>) MODELS
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+Stationarity and the existence of moments of a family of GARCH processes.
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+ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS
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+Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
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+Order selection in nonstationary autoregressive models
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+On predictive least squares principles
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+https://doi.org/10.1214/21-aos2149
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+W4283023853
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