scientific article; zbMATH DE number 1069583

MaRDI QIDQ4356544zbMATH OpenFDO

Authors R. J. Bhansali

Publication date 1 October 1997

zbMATH Keywords

ARMAmodel selectionreviewunivariate linear time series

Mathematics Subject Classification ID

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

Recommendations

• Order Choice in Nonlinear Autoregressive Models
• Order selection in ARMA models using the focused information criterion
• Order selection in nonstationary autoregressive models
• Model selection under nonstationarity: Autoregressive models and stochastic linear regression models

Cited in

(19)

• On time series model selection involving many candidate ARMA models
• A Bayes procedure for the identification of univariate time series models
• The weighted average information criterion for order selection in time series and regression models
• An Akaike information criterion for model selection in the presence of incomplete data.
• A large-sample model selection criterion based on Kullback's symmetric divergence
• Order selection for possibly infinite-order non-stationary time series
• An asymptotically optimal selection of the order of a linear process
• Determining the order of the functional autoregressive model
• scientific article; zbMATH DE number 4176285 (Why is no real title available?)
• Measuring the Advantages of Multivariate vs. Univariate Forecasts
• Methods for Determining the Order of an Autoregressive-Moving Average Process: A Survey
• Order Determination in Nonlinear Time Series by Penalized Least-Squares
• Backward‐in‐Time Selection of the Order of Dynamic Regression Prediction Model
• Order Choice in Nonlinear Autoregressive Models
• The variance profile
• Subsampling and model selection in time series analysis
• SIGNIFICANT VARIABLE SELECTION AND AUTOREGRESSIVE ORDER DETERMINATION FOR TIME‐SERIES PARTIALLY LINEAR MODELS
• Estimation of the memory parameter by fitting fractionally differenced autoregressive models
• Introducing model uncertainty by moving blocks bootstrap

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