Selection of weak VARMA models by modified Akaike's information criteria

DOI10.1111/j.1467-9892.2011.00746.xzbMath1300.62079OpenAlexW2132976747MaRDI QIDQ2930907

Yacouba Boubacar Maïnassara

Publication date: 20 November 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00746.x

zbMATH Keywords

identificationmodel selectionKullback-Leibler informationdiscrepancyAICQMLEorder selectionweak VARMA models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Order statistics; empirical distribution functions (62G30) Statistical aspects of information-theoretic topics (62B10)

Related Items

Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models ⋮ Autoregressive Order Identification for VAR Models with Non Constant Variance ⋮ Goodness-of-fit tests for SPARMA models with dependent error terms ⋮ Estimating weak periodic vector autoregressive time series ⋮ Semi-strong linearity testing in linear models with dependent but uncorrelated errors ⋮ Portmanteau tests for periodic ARMA models with dependent errors ⋮ Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models ⋮ Estimation of weak ARMA models with regime changes ⋮ Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors ⋮ Estimating FARIMA models with uncorrelated but non-independent error terms

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