Inference and model selection in general causal time series with exogenous covariates

DOI10.1214/21-EJS1950zbMATH Open1493.62517arXiv2102.02870OpenAlexW3127143541WikidataQ130420777 ScholiaQ130420777MaRDI QIDQ2136604FDOQ2136604

Mamadou Lamine Diop, William Charky Kengne

Publication date: 11 May 2022

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

Abstract: In this paper, we study a general class of causal processes with exogenous covariates, including many classical processes such as the ARMA-GARCH, APARCH, ARMAX, GARCH-X and APARCH-X processes. Under some Lipschitz-type conditions, the existence of a $au$-weakly dependent strictly stationary and ergodic solution is established. We provide conditions for the strong consistency and derive the asymptotic distribution of the quasi-maximum likelihood estimator (QMLE), both when the true parameter is an interior point of the parameter's space and when it belongs to the boundary. A significance Wald-type test of parameter is developed. This test is quite extensive and includes the test of nullity of the parameter's components, which in particular, allows us to assess the relevance of the exogenous covariates. Relying on the QMLE of the model, we also propose a penalized criterion to address the problem of the model selection for this class. The weak and the strong consistency of the procedure are established. Finally, Monte Carlo simulations are conducted to numerically illustrate the main results.

Full work available at URL: https://arxiv.org/abs/2102.02870

zbMATH Keywords

model selectionconsistencyboundaryquasi-maximum likelihood estimatorsignificance testpenalized criterioncausal processesexogenous covariates

Mathematics Subject Classification ID

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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Cited In (4)

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