Order selection for heteroscedastic autoregression: a study on concentration
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Publication:613183
DOI10.1016/J.SPL.2010.08.018zbMATH Open1202.62112OpenAlexW2166251785MaRDI QIDQ613183FDOQ613183
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
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Cites Work
- Estimating the dimension of a model
- A new look at the statistical model identification
- Fitting time series models to nonstationary processes
- A Haar–Fisz technique for locally stationary volatility estimation
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- Fitting autoregressive models for prediction
- Adaptive estimation of autoregressive models with time-varying variances
- Testing for unit roots in time series models with non-stationary volatility
- Discrimination of Locally Stationary Time Series Based on the Excess Mass Functional
- Statistical predictor identification
- Inference in Autoregression under Heteroskedasticity
- Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes
- Semiparametric Estimation by Model Selection for Locally Stationary Processes
- Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
- AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE
- LEAST SQUARES ESTIMATES AND ORDER DETERMINATION PROCEDURES FOR AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE
- Title not available (Why is that?)
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