Order selection in nonstationary autoregressive models

DOI10.1214/AOS/1176346801zbMATH Open0554.62075OpenAlexW2064971448MaRDI QIDQ760136FDOQ760136

Authors: 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

Recommendations

• Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
• On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes
• Order Choice in Nonlinear Autoregressive Models
• ORDER IDENTIFICATION IN MISSPECIFIED AUTOREGRESSIVE TIME SERIES MODELS
• Order selection statistical test for nonstationary AR models

zbMATH Keywords

BICregressionAICmodeling 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)

Cited In (41)

• Variable selection in generalized random coefficient autoregressive models
• On a criterion for the selection of models for stationary time series
• Order Choice in Nonlinear Autoregressive Models
• Order selection for possibly infinite-order non-stationary time series
• Consistent order selection for noncausal autoregressive models via higher-order statistics
• SELECTING ORDER FOR GENERAL AUTOREGRESSIVE MODELS BY MINIMUM DESCRIPTION LENGTH
• Numerical distribution functions for seasonal unit root tests
• Model selection in the presence of nonstationarity
• Order selection criteria for vector autoregressive models
• Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
• Sequential model selection method for nonparametric autoregression
• Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
• Semiparametric cointegrating rank selection
• Consistent model selection criteria and goodness-of-fit test for common time series models
• Incorporating lag order selection uncertainty in parameter inference for AR models
• ORDER IDENTIFICATION IN MISSPECIFIED AUTOREGRESSIVE TIME SERIES MODELS
• Consistent order selection for ARFIMA processes
• Information criteria for selecting possibly misspecified parametric models
• Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
• On consistency for time series model selection
• Order selection for heteroscedastic autoregression: a study on concentration
• Backward‐in‐Time Selection of the Order of Dynamic Regression Prediction Model
• On the underfitting and overfitting sets of models chosen by order selection criteria.
• Model selection for integrated autoregressive processes of infinite order
• Consistent order selection with strongly dependent data and its application to efficient estimation.
• An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification
• Bayesian classification with multivariate autoregressive sources that might have different orders
• Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
• Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations
• Estimation of parameters in ARUMA models
• Title not available (Why is that?)
• ON THE CHOICE OF THE ORDER OF AUTOREGRESSIVE MODELS: A RANKING AND SELECTION APPROACH
• A strongly consistent criterion to decide between I(1) and I(0) processes based on different convergence rates
• Asymptotically efficient order selection in nonstationary AR processes
• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• Bayesian Identification of Seasonal Autoregressive Models
• An asymptotically optimal selection of the order of a linear process
• ORDERS AND INITIAL VALUES OF NON-STATIONARY MULTIVARIATE ARMA MODELS
• On asymptotic risk of selecting models for possibly nonstationary time-series
• Bayesian Identification of Seasonal Multivariate Autoregressive Processes
• Tuning parameter selection for the adaptive LASSO in the autoregressive model

This page was built for publication: Order selection in nonstationary autoregressive models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q760136)