Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
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Publication:1824971
DOI10.1214/aos/1176347267zbMath0683.62049OpenAlexW2087104794MaRDI QIDQ1824971
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/1176347267
model selectionnonstationarityAICorder estimationstochastic regression modelsregressor selectionnonergodic modelsAkaike information criteriumorder of general nonstationary autoregressive modelssufficient conditions for strong consistency of estimatorstime-dependent error variance
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Stationary stochastic processes (60G10)
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