Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations

DOI10.1111/J.1467-9892.2008.00579.XMaRDI QIDQ3552846zbMATH OpenOpenAlexFDO

Authors Peter Burrtdge, Daniela Hristova

Publication date 22 April 2010

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2008.00579.x

zbMATH Keywords

consistent order-selection criteriainfinite-variance innovationsunit-root AR processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• Estimating the dimension of a model
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• Lag length estimation in large dimensional systems
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• Modeling by shortest data description
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• ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS
• Order selection in nonstationary autoregressive models
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• Time series with unit roots and infinite-variance disturbances

Cited in

(11)

• Consistent order selection for noncausal autoregressive models via higher-order statistics
• Non-stationary autoregressive processes with infinite variance
• Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
• Nearly nonstationary processes under infinite variance GARCH noises
• scientific article; zbMATH DE number 4186934 (Why is no real title available?)
• Consistent order selection for ARFIMA processes
• Unit root inference for non-stationary linear processes driven by infinite variance innovations
• Consistency of Araike's information criterion for infinite variance autoregressive processes
• scientific article; zbMATH DE number 1034045 (Why is no real title available?)
• Analysis of autoregressive models with symmetric stable innovations
• Model identification for infinite variance autoregressive processes

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