Negative Moment Bounds for Sample Autocovariance Matrices of Stationary Processes Driven by Conditional Heteroscedastic Errors and Their Applications
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Publication:6423722
arXiv2301.07476MaRDI QIDQ6423722FDOQ6423722
Authors: Hsueh-Han Huang, Shu-Hui Yu, Ching-Kang Ing 
Publication date: 18 January 2023
Abstract: We establish a negative moment bound for the sample autocovariance matrix of a stationary process driven by conditional heteroscedastic errors. This moment bound enables us to asymptotically express the mean squared prediction error (MSPE) of the least squares predictor as the sum of three terms related to model complexity, model misspecification, and conditional heteroscedasticity. A direct application of this expression is the development of a model selection criterion that can asymptotically identify the best (in the sense of MSPE) subset AR model in the presence of misspecification and conditional heteroscedasticity. Finally, numerical simulations are conducted to confirm our theoretical results.
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