LEAST SQUARES ESTIMATES AND ORDER DETERMINATION PROCEDURES FOR AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE

DOI10.1111/j.1467-9892.1985.tb00403.xzbMath0577.62079OpenAlexW2133409722MaRDI QIDQ3698117

Jostein Paulsen, Dag Tjøstheim

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1985.tb00403.x

zbMATH Keywords

martingaleleast squares methodAICasymptotically normalAkaike criterionorder determinationasymptotically unbiasednoise processtime dependent variancegenerating whitenon-stationary autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Order selection for heteroscedastic autoregression: a study on concentration ⋮ Unnamed Item

Cites Work

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• Robust Methods for Detection of Shifts of the Innovation Variance of a Time Series
• Some properties and examples of random processes that are almost wide sense stationary
• A Bayesian extension of the minimum AIC procedure of autoregressive model fitting

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