Order selection in nonstationary autoregressive models

DOI10.1214/aos/1176346801zbMath0554.62075OpenAlexW2064971448MaRDI QIDQ760136

Ruey S. Tsay

Publication date: 1984

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176346801

zbMATH Keywords

regressionAICBICmodeling stationary time seriesnonstationary autoregressive modelorder selection criteria

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Strong limit theorems (60F15)

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