کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1152739 | 1489896 | 2010 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Order selection for heteroscedastic autoregression: A study on concentration
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
We consider an autoregressive model where the variance is allowed to be a function of time, unconditional on the past. Pötscher (1989) has proven that, regardless of the shape of the variance function, order selection can be made consistently. However, this procedure does not account for the non-stationary behavior. We consider the concentration of the variance function and its effect on order selection. We show that an order free estimate of the variance function can be constructed and propose an order selection criterion based on this estimate. Consistency is established and simulation results verify a large increase in the probability of selecting the correct order for finite samples.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 80, Issues 23–24, 1–15 December 2010, Pages 1904–1910
Journal: Statistics & Probability Letters - Volume 80, Issues 23–24, 1–15 December 2010, Pages 1904–1910
نویسندگان
Gabriel Chandler,