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

zbMATH Keywords

consistencymodel selectionquasi-maximum likelihood estimatorboundarysignificance 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)

Related Items (2)

A general procedure for change-point detection in multivariate time series ⋮ On consistency for time series model selection

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