REGRESSION, AUTOREGRESSION MODELS

DOI10.1111/J.1467-9892.1986.TB00484.XMaRDI QIDQ3716147zbMATH OpenOpenAlexFDO

Authors E. J. Hannan, Laimonis Kavalieris

Publication date 1986

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1986.tb00484.x

zbMATH Keywords

AICalmost sure convergence ratesapproximationsARMAXBICinnovation sequencelaw of the iterated logarithmleast squares fitted regression autoregression modelsleast-squares methodmartingaleorder estimatesresidual sequence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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Cites work

• A method for autoregressive-moving average estimation
• An Asymptotic Result for the Finite Predictor.
• An optimal autoregressive spectral estimate
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
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• Consistent autoregressive spectral estimates
• Fitting autoregressive models for prediction
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3502497 (Why is no real title available?)
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• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
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• Modeling by shortest data description
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• THE CONVERGENCE OF AUTOCORRELATIONS AND AUTOREGRESSIONS1
• The estimation of the order of an ARMA process
• The Hartman-Wintner Law of the Iterated Logarithm for Martingales

Cited in

(45)

• Time series clustering based on forecast densities
• On residual sums of squares in non-parametric autoregression
• On sieve bootstrap prediction intervals.
• Autoregressive-aided periodogram bootstrap for time series
• Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
• Nonasymptotic bounds for autoregressive time series modeling.
• The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models
• Resampling time series using missing values techniques
• Moving-average representation of autoregressive approximations
• Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes
• A test for stationarity based on empirical processes
• Uniform convergence of autocovariances
• Inference for the fourth-order innovation cumulant in linear time series
• Model-free approaches in learning the multivariate linear regressive models
• A parametric estimation method for dynamic factor models of large dimensions
• Autoregression analysis and its application in autoregression models
• An efficient method for the estimation of multivariate moving averge models
• Estimating multivariate autoregressive moving average models by fitting long autoregressions
• A sieve bootstrap test for cointegration in a conditional error correction model
• Discriminating between long-range dependence and non-stationarity
• Deterministic regression models for prediction and control
• Performance contours of autoregressive estimates
• Basic structure of the asymptotic theory in dynamic nonlinear econometric models
• scientific article; zbMATH DE number 94014 (Why is no real title available?)
• On the numerical evaluation of the theoretical variance‐covariance matrix of least squares estimators for echelon‐form varma models
• Prediction intervals and regions for multivariate time series models with sieve bootstrap
• Inference on factor structures in heterogeneous panels
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Order Choice in Nonlinear Autoregressive Models
• On the numerical implementation of the generalized least squares procedure for arma estimation
• Adaptive selection of the optimal order of linear regression models using learning automata
• scientific article; zbMATH DE number 1389758 (Why is no real title available?)
• Detrending bootstrap unit root tests
• On the vector autoregressive sieve bootstrap
• On bootstrapping panel factor series
• Bootstrap union tests for unit roots in the presence of nonstationary volatility
• Mixing properties of ARCH and time-varying ARCH processes
• A local factor nonparametric test for trend synchronism in multiple time series
• Calculation of regularized least squares estimators of autoregression coefficients based on inaccurate data
• Strong consistency of the regularized least-squares estimates of infinite autoregressive models
• Sieve bootstrap for smoothing in nonstationary time series
• Selection of the regression model order
• Extimation and structure determination of multivariate input systems
• QML estimators in linear regression models with functional coefficient autoregressive processes
• A bootstrap test for time series linearity

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