scientific article; zbMATH DE number 777877

zbMATH Open0822.62071MaRDI QIDQ4840384FDOQ4840384

Authors: Changhua Chen, Richard A. Davis, Zhidong Bai, Peter J. Brockwell 

Publication date: 24 July 1995

Title of this publication is not available (Why is that?)

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zbMATH Keywords

BICmaximum likelihood estimationAICresamplingorder selectionautoregressive time seriesconsistent estimateresampling procedureYule-Walker estimation\(AR (p)\) model

Mathematics Subject Classification ID

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

Cited In (11)

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• Smoothing non-Gaussian time series with autoregressive structure.
• Model selection with data-oriented penalty
• Resampling for order estimation of autoregressive models with missing data
• ON THE PROBABILITY OF ERROR WHEN USING A GENERAL AKAIKE-TYPE CRITERION TO ESTIMATE AUTOREGRESSION ORDER
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• The limiting spectral distribution of large random permutation matrices
• On the use of autoregressive order determination criteria in univariate white noise tests
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• Simultaneous confidence bands for Yule-Walker estimators and order selection

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