THE CRITERION AUTOREGRESSIVE TRANSFER FUNCTION OF PARZEN

DOI10.1111/j.1467-9892.1986.tb00487.xzbMath0597.62093MaRDI QIDQ3730886

R. J. Bhansali

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.tb00487.x

zbMATH Keywords

asymptotic distribution; time series; fitting; simulation study; spectral density; autoregressive model; penalty function; nonparametric; autoregressive process; CAT; order determination; finite sample behaviour; autoregressive representation; autoregressive model fitting approach to time series modelling; CAT(alpha); CAT(star); criterion autoregressive transfer function; FPE(alpha)

Mathematics Subject Classification ID

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

Related Items

Asymptotic efficiency of model selection criteria: the nonzero mean gaussian ar(∞) case, On Efficient AR Spectral Estimation for Long-Range Predictions

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