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pro vyhledávání: '"Kare, Kamila"'
This paper studies the model selection problem in a large class of causal time series models, which includes both the ARMA or AR($\infty$) processes, as well as the GARCH or ARCH($\infty$), APARCH, ARMA-GARCH and many others processes. We first study
Externí odkaz:
http://arxiv.org/abs/2110.09785
Akademický článek
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Autor:
Kare Kamila
Publikováno v:
Annals of the Institute of Statistical Mathematics.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::34c467abdbe944be5e45ee401e091412
https://doi.org/10.1007/s10463-022-00855-1
https://doi.org/10.1007/s10463-022-00855-1
Publikováno v:
Electron. J. Statist. 14, no. 1 (2020), 2009-2052
Electronic Journal of Statistics
Electronic Journal of Statistics, Shaker Heights, OH : Institute of Mathematical Statistics, 2020, 14 (1), pp.2009-2052. ⟨10.1214/20-EJS1709⟩
Electronic Journal of Statistics
Electronic Journal of Statistics, Shaker Heights, OH : Institute of Mathematical Statistics, 2020, 14 (1), pp.2009-2052. ⟨10.1214/20-EJS1709⟩
This paper studies the model selection problem in a large class of causal time series models, which includes both the ARMA or AR($\infty $) processes, as well as the GARCH or ARCH($\infty $), APARCH, ARMA-GARCH and many others processes. To tackle th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b68d873719bff3843ae68f6316a81946
https://projecteuclid.org/euclid.ejs/1588039328
https://projecteuclid.org/euclid.ejs/1588039328