Model selection for integrated autoregressive processes of infinite order
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Publication:765828
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- scientific article; zbMATH DE number 1034045
Cites work
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- scientific article; zbMATH DE number 3635352 (Why is no real title available?)
- scientific article; zbMATH DE number 1034045 (Why is no real title available?)
- scientific article; zbMATH DE number 6193729 (Why is no real title available?)
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- Order selection for same-realization predictions in autoregressive processes
- Order selection in nonstationary autoregressive models
- Prediction errors in nonstationary autoregressions of infinite order
- Time Series Regression with a Unit Root
- Uniform moment bounds of Fisher's information with applications to time series
- VAR forecasting under misspecification
Cited in
(15)- Order selection for possibly infinite-order non-stationary time series
- Model averaging prediction for possibly nonstationary autoregressions
- 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
- Model selection for unit-root time series with many predictors
- 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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