Model selection for integrated autoregressive processes of infinite order

DOI10.1016/J.JMVA.2011.10.008zbMATH Open1236.62105OpenAlexW2079238725MaRDI QIDQ765828FDOQ765828

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

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

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• scientific article; zbMATH DE number 1034045

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)

Cites Work

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Cited In (13)

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

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