Some asymptotic results for time series model selection
Statistics Theory
2022-02-01 v1 Statistics Theory
Abstract
We consider the model selection problem for a large class of time series models, including, multivariate count processes, causal processes with exogenous covariates. A procedure based on a general penalized contrast is proposed. Some asymptotic results for weak and strong consistency are established. The non consistency issue is addressed, and a class of penalty term, that does not ensure consistency is provided. Examples of continuous valued and multivariate count autoregressive time series are considered.
Cite
@article{arxiv.2201.13273,
title = {Some asymptotic results for time series model selection},
author = {William Kengne},
journal= {arXiv preprint arXiv:2201.13273},
year = {2022}
}