Model selection for integrated autoregressive processes of infinite order

DOI10.1016/J.JMVA.2011.10.008MaRDI QIDQ765828zbMATH OpenOpenAlexFDO

Authors Ching-Kang Ing, Chor-Yiu Sin, Shu-Hui Yu

Publication date 22 March 2012

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2011.10.008

zbMATH Keywords

asymptotic efficiencymean squared prediction errorintegrated AR\((\infty )\) processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cited in

(13)

• Model averaging multistep prediction in an infinite order autoregressive process
• Order selection for possibly infinite-order non-stationary time series
• Information criteria for model selection
• On consistency for time series model selection
• Consistency of Araike's information criterion for infinite variance autoregressive processes
• Order selection for same-realization predictions in autoregressive processes
• AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS
• Model averaging prediction for time series models with a diverging number of parameters
• On asymptotic risk of selecting models for possibly nonstationary time-series
• Consistent model selection criteria and goodness-of-fit test for common time series models
• Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems
• Efficient and consistent model selection procedures for time series
• Consistent order selection for ARFIMA processes

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