Consistency of minimum description length model selection for piecewise stationary time series models

DOI10.1214/13-EJS769zbMath1337.62254MaRDI QIDQ1951119

Richard A. Davis, Chun Yip Yau

Publication date: 29 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1359564355

zbMATH Keywords

GARCH; non-stationary time series; multiple change points; minimum description length (MDL) principle; piecewise-stationary processes

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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