Inference and model selection in general causal time series with exogenous covariates
DOI10.1214/21-EJS1950zbMath1493.62517arXiv2102.02870OpenAlexW3127143541WikidataQ130420777 ScholiaQ130420777MaRDI QIDQ2136604
Mamadou Lamine Diop, William Charky Kengne
Publication date: 11 May 2022
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.02870
consistencymodel selectionquasi-maximum likelihood estimatorboundarysignificance testpenalized criterioncausal processesexogenous covariates
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)
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Cites Work
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