Strong consistency of the PLS criterion for order determination of autoregressive processes

DOI10.1214/AOS/1176347154zbMATH Open0675.62061OpenAlexW1975057794MaRDI QIDQ1122273FDOQ1122273

Authors: Elder Moreira Hemerly, Mark H. A. Davis 

Publication date: 1989

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347154

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• Publication:3473999
• scientific article; zbMATH DE number 4120089

zbMATH Keywords

strong consistencystructure identificationautoregressive modelsmartingale differenceorder determinationleast mean square prediction errorpredictive least-squares principle

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Cited In (21)

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• Recursive order estimation of stochastic control systems
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• Multistep prediction in autoregressive processes
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• Consistency of Araike's information criterion for infinite variance autoregressive processes
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• Relations between information criteria for model-structure selection Part 2. Modelling by shortest data description
• A Bayesian Approach to Sequential Surveillance in Exponential Families
• Predictor selection for positive autoregressive processes
• Title not available (Why is that?)
• Will the PLS criterion for order estimation work with AML and a posteriori prediction error?
• A Predictive Least-Squares Principle
• Strongly consistent estimation of the order of stochastic control systems (CARMA model)
• Accumulative prediction error and the selection of time series models
• Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
• Order selection for AR models by predictive least squares
• Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems
• Distributed Order Estimation of ARX Model under Cooperative Excitation Condition
• Autoregressive-output-analysis methods revisited

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