On consistency of minimum description length model selection for piecewise autoregressions
Year of publication: |
October 2016
|
---|---|
Authors: | Davis, Richard A. ; Hancock, Stacey A. ; Yao, Yi-Ching |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 194.2016, 2, p. 360-368
|
Subject: | Change-point | Structural break | Model selection | Minimum description length | Autoregressive process | Strukturbruch | Autokorrelation | Autocorrelation | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
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