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

DOI10.1214/AOS/1176347154MaRDI QIDQ1122273zbMATH OpenOpenAlexFDO

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

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)

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