Strongly consistent model selection for general causal time series

DOI10.1016/j.spl.2020.109000zbMath1461.62155arXiv2008.08778OpenAlexW3107455962MaRDI QIDQ2657997

William Charky Kengne

Publication date: 18 March 2021

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.08778

zbMATH Keywords

model selectionstrong consistencyquasi-maximum likelihood estimationpenalized contrastcausal processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

Inference and model selection in general causal time series with exogenous covariates ⋮ Epidemic change-point detection in general causal time series ⋮ On consistency for time series model selection

Cites Work

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• An Inequality and Almost Sure Convergence
• The Hartman-Wintner Law of the Iterated Logarithm for Martingales

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