Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations
DOI10.1111/J.1467-9892.2008.00579.XzbMATH Open1198.62091OpenAlexW2160684943MaRDI QIDQ3552846FDOQ3552846
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
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- ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS
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- Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
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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
- Title not available (Why is that?)
- Unit root inference for non-stationary linear processes driven by infinite variance innovations
- Consistent order selection for ARFIMA processes
- Consistency of Araike's information criterion for infinite variance autoregressive processes
- Title not available (Why is that?)
- Analysis of autoregressive models with symmetric stable innovations
- Model identification for infinite variance autoregressive processes
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