Order selection for heteroscedastic autoregression: a study on concentration

DOI10.1016/j.spl.2010.08.018zbMath1202.62112OpenAlexW2166251785MaRDI QIDQ613183

Gabriel Chandler

Publication date: 20 December 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.08.018

zbMATH Keywords

autoregressionconcentrationnon-stationarityorder selection

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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