scientific article; zbMATH DE number 4186934

MaRDI QIDQ5751797zbMATH OpenFDO

Authors R. J. Bhansali

Publication date 1988

zbMATH Keywords

autoregressive estimates of the inverse correlationsautoregressive processesConsistencydiscrimination proceduredomain of attraction of an infinite variance stable lawmoving average processesOrder determinationsimulation studytime series

Mathematics Subject Classification ID

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

Recommendations

• Consistency of Araike's information criterion for infinite variance autoregressive processes
• Model identification for infinite variance autoregressive processes
• Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations
• Consistent Recursive Estimation of the Order of an Autoregressive Moving Average Process
• Estimation of the impulse response coefficients of a linear process with infinite variance

Cited in

(8)

• The discrimination between autoregressive and moving average models from the estimated inverse correlations
• Consistency of Araike's information criterion for infinite variance autoregressive processes
• On the underfitting and overfitting sets of models chosen by order selection criteria.
• A trimmed mean of location of an AR\((\infty)\) stationary process
• Consistent order selection for ARFIMA processes
• Identification of moving average process with infinite variance
• Regularization and variable selection for infinite variance autoregressive models
• Model identification for infinite variance autoregressive processes

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