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General Hannan and Quinn Criterion for Common Time Series

Kare Kamila首次提交 2021-01-11 · 修订 2021-01-11 · v1arXiv预印本

常见时间序列模型的广义 Hannan–Quinn 准则AI 解读

This paper aims to study data driven model selection criteria for a large class of time series, which includes ARMA or AR( $\infty$ ) processes, as well as GARCH or ARCH( $\infty$ ), APARCH and many others processes. We tackled the challenging issue of designing adaptive criteria which enjoys the strong consistency property. When the observations are generated from one of the aforementioned models, the new criteria, select the true model almost surely asymptotically. The…This paper aims to study data driven model selection criteria for a large class of time series, which includes ARMA or AR($\infty$) processes, as well as GARCH or ARCH($\infty$), APARCH and many others processes. We tackled the challenging issue of designing adaptive criteria which enjoys the strong consistency property. When the observations are generated from one of the aforementioned models, the new criteria, select the true model almost surely asymptotically. The…

宏观 · 时间序列正则化与变量选择

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