Order selection for heteroscedastic autoregression: a study on concentration

DOI10.1016/J.SPL.2010.08.018MaRDI QIDQ613183zbMATH OpenOpenAlexFDO

Authors Gabriel Chandler

Publication date 20 December 2010

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2010.08.018

zbMATH Keywords

autoregressionnon-stationarityconcentrationorder selection

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
• Order selection in nonstationary autoregressive models
• Order Choice in Nonlinear Autoregressive Models
• LEAST SQUARES ESTIMATES AND ORDER DETERMINATION PROCEDURES FOR AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE
• Postmodel selection estimators of variance function for nonlinear autoregression

Cites work

• scientific article; zbMATH DE number 3599633 (Why is no real title available?)
• scientific article; zbMATH DE number 3635352 (Why is no real title available?)
• A Haar–Fisz technique for locally stationary volatility estimation
• A new look at the statistical model identification
• AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE
• Adaptive estimation of autoregressive models with time-varying variances
• Discrimination of Locally Stationary Time Series Based on the Excess Mass Functional
• Estimating the dimension of a model
• Fitting autoregressive models for prediction
• Fitting time series models to nonstationary processes
• Inference in Autoregression under Heteroskedasticity
• LEAST SQUARES ESTIMATES AND ORDER DETERMINATION PROCEDURES FOR AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE
• Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
• Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes
• Semiparametric Estimation by Model Selection for Locally Stationary Processes
• Statistical predictor identification
• Testing for unit roots in time series models with non-stationary volatility

This page was built for publication: Order selection for heteroscedastic autoregression: a study on concentration

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q613183)