Virtualconference
H Consistent model selection criteria and goodness-of-fit test for common time series models
Auteurs : Bardet, Jean-Marc (Auteur de la Conférence)
CIRM (Editeur )
CIRM (Editeur )
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- BARDET, Jean-Marc, KAMILA, Kare, KENGNE, William, et al. Consistent model selection criteria and goodness-of-fit test for common time series models. Electronic Journal of Statistics, 2020, vol. 14, no 1, p. 2009-2052. - http://dx.doi.org/10.1214/20-EJS1709
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Résumé :
We study the model selection problem in a large class of causal time series models, which includes both the ARMA or AR($\infty$) processes, as well as the GARCH or ARCH($\infty$), APARCH, ARMA-GARCH and many others processes. To tackle this issue, we consider a penalized contrast based on the quasi-likelihood of the model. We provide sufficient conditions for the penalty term to ensure the consistency of the proposed procedure as well as the consistency and the asymptotic normality of the quasi-maximum likelihood estimator of the chosen model. We also propose a tool for diagnosing the goodness-of-fit of the chosen model based on a Portmanteau test. Monte-Carlo experiments and numerical applications on illustrative examples are performed to highlight the obtained asymptotic results. Moreover, using a data-driven choice of the penalty, they show the practical efficiency of this new model selection procedure and Portemanteau test.
Keywords : Model selection; time series; consistency; BIC; Portmanteau test
Codes MSC :
60K35
- Interacting random processes; statistical mechanics type models; percolation theory
Ressources complémentaires :
https://www.cirm-math.fr/RepOrga/2146/Slides/Bardet.pdf
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Informations sur la Vidéo
Réalisateur : Hennenfent, GuillaumeLangue : Anglais Date de publication : 15/06/2020 Date de captation : 02/06/2020 Collection : Research talks ; Probability and Statistics Durée : 01:08:34 Domaine : Probability & Statistics Audience : Chercheurs ; Doctorants , Post - Doctorants Download : https://videos.cirm-math.fr/2020-06-02_Bardet.mp4 
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Informations sur la Rencontre Virtuelle
Nom de la rencontre : Mathematical Methods of Modern Statistics 2 / Méthodes mathématiques en statistiques modernes 2Organisateurs de la rencontre : Bogdan, Malgorzata ; Graczyk, Piotr ; Panloup, Fabien ; Proïa, Frédéric ; Roquain, Etienne Dates : 15/06/2020 - 19/06/2020 Année de la rencontre : 2020 URL Congrès : https://www.cirm-math.com/cirm-virtual-...
Citation Data
DOI : 10.24350/CIRM.V.19640303Cite this video as: Bardet, Jean-Marc (2020). Consistent model selection criteria and goodness-of-fit test for common time series models.CIRM . Audiovisual resource. doi:10.24350/CIRM.V.19640303 URI : http://dx.doi.org/10.24350/CIRM.V.19640303 |
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