Model Selection Under Nonstationarity: Autoregressive Models and Stochastic Linear Regression Models
We give sufficient conditions for strong consistency of estimators for the order of general nonstationary autoregressive models based on the minimization of an ...
A new form of non-linear autoregressive time series is proposed to model solar radiation data, by specifying joint marginal distributions at low lags to be multivariate Gaussian mixtures. The model is ...
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