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

DOI10.1111/J.1467-9892.2011.00746.XzbMATH Open1300.62079OpenAlexW2132976747MaRDI QIDQ2930907FDOQ2930907

Authors: Y. Boubacar Mainassara 

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

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• A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION

zbMATH Keywords

model selectionidentificationAICdiscrepancyQMLEKullback-Leibler informationorder selectionweak VARMA models

Mathematics Subject Classification ID

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

Cites Work

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• Diagnostic Checking in ARMA Models With Uncorrelated Errors
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• Estimating linear representations of nonlinear processes
• Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
• Estimating structural VARMA models with uncorrelated but non-independent error terms
• Recursive estimation of mixed autoregressive-moving average order
• Estimation of vector Armax models
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• A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION
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• Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
• Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models

Cited In (15)

• Portmanteau tests for periodic ARMA models with dependent errors
• Estimation of weak ARMA models with regime changes
• Estimating the orders of weak multivariate ARMA models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Estimating FARIMA models with uncorrelated but non-independent error terms
• Is first-order vector autoregressive model optimal for fMRI data?
• The specification of vector autoregressive moving average models
• Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models
• Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models
• Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors
• Estimating weak periodic vector autoregressive time series
• Goodness-of-fit tests for SPARMA models with dependent error terms
• Semi-strong linearity testing in linear models with dependent but uncorrelated errors
• Autoregressive order identification for VAR models with non constant variance

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