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On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes

On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes

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BERAN, Jan, Dirk OCKER, Rajendra J. BHANSALI, 1998. On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes. In: Biometrika. 85(4), pp. 921-934. ISSN 0006-3444

@article{Beran1998unifi-18832, title={On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes}, year={1998}, doi={10.1093/biomet/85.4.921}, number={4}, volume={85}, issn={0006-3444}, journal={Biometrika}, pages={921--934}, author={Beran, Jan and Ocker, Dirk and Bhansali, Rajendra J.} }

Bhansali, Rajendra J. The question of model choice for the class of stationary and nonstationary, fractional and nonfractional autoregressive processes is considered. This class is defined by the property that the dth difference, for $- \frac{1}{2} < d < \infty$ , is a stationary autoregressive process of order $p_o < \infty$ . A version of the Akaike information criterion, AIC, for determining an appropriate autoregressive order when d and the autoregressive parameters are estimated simultaneously by a maximum likelihood procedure (Beran, 1995) is derived and shown to be of the same general form as for a stationary autoregressive process, but with d treated as an additional estimated parameter. Moreover, as in the stationary case, this criterion is shown not to provide a consistent estimator of po. The corresponding versions of BIC of Schwarz (1978) and the HIC of Hannan & Quinn (1979) are shown to yield consistent estimators of p0. The results provide a unified treatment of fractional and nonfractional, stationary and integrated nonstationary autoregressive models. Ocker, Dirk deposit-license 2012-03-20T11:07:51Z Publ. in: Biometrika ; 85 (1998), 4. - S. 921-934 Beran, Jan 1998 eng On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes Ocker, Dirk Beran, Jan Bhansali, Rajendra J. 2012-03-20T11:07:51Z

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