On a distributional bound arising in autoregressive model fitting

DOI10.2307/3215033zbMath0798.62091OpenAlexW4235816182MaRDI QIDQ4305643

F. Papangelou

Publication date: 8 November 1994

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3215033

zbMATH Keywords

momentsergodic theoremsnormsautoregressive model fittinglarge sample sizeinverse sample covariance matricesuniform boundedness results

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) (L^p)-limit theorems (60F25)

Related Items (4)

MULTISTEP PREDICTION IN AUTOREGRESSIVE PROCESSES ⋮ On same-realization prediction in an infinite-order autoregressive process. ⋮ Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications ⋮ AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.

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