Some asymptotic results for time series model selection

2022/01/31 by Kengne, William
#FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.2201.13273

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.

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