Estimating the dimension of a linear system
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- Kliger, Mark & Francos, Joseph M., 2008. "Strong consistency of a family of model order selection rules for estimating 2D sinusoids in noise," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 3075-3081, December.
- Ahn, Seung C. & Perez, M. Fabricio, 2010. "GMM estimation of the number of latent factors: With application to international stock markets," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 783-802, September.
- George W. Gallinger, 1994. "Causality Tests Of The Real Stock Return-Real Activity Hypothesis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(2), pages 271-288, June.
- Jean-Marie Dufour & Tarek Jouini, 2011. "Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models," CIRANO Working Papers 2011s-25, CIRANO.
- GONZALO, Jesus & PITARAKIS, Jean-Yves, 1994.
"Comovements in Large Systems,"
LIDAM Discussion Papers CORE
1994065, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Pitarakis, Jean-Yves, 1995. "Comovements in large systems," DES - Working Papers. Statistics and Econometrics. WS 5825, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Emrah Oral & Gazanfer Unal, 2019. "Modeling and forecasting time series of precious metals: a new approach to multifractal data," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-28, December.
- Phillips, Peter C.B. & Ploberger, Werner, 1994.
"Posterior Odds Testing for a Unit Root with Data-Based Model Selection,"
Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 774-808, August.
- Peter C.B. Phillips & Werner Ploberger, 1992. "Posterior Odds Testing for a Unit Root with Data-Based Model Selection," Cowles Foundation Discussion Papers 1017, Cowles Foundation for Research in Economics, Yale University.
- Perez, Marcos & Ahn, Seung Chan, 2007. "GMM Estimation of the Number of Latent Factors," MPRA Paper 4862, University Library of Munich, Germany.
- Emrah Oral & Gazanfer Unal, 2017. "Co-movement of precious metals and forecasting using scale by scale wavelet transform," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-21, March.
- Cragg, John G. & Donald, Stephen G., 1997. "Inferring the rank of a matrix," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 223-250.
- Guyon, Xavier & Yao, Jian-feng, 1999. "On the Underfitting and Overfitting Sets of Models Chosen by Order Selection Criteria," Journal of Multivariate Analysis, Elsevier, vol. 70(2), pages 221-249, August.
- Emre Kahraman & Gazanfer Unal, 2016. "Multiple Wavelet Coherency Analysis and Forecasting of Metal Prices," Papers 1602.01960, arXiv.org.
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Keywords
Ergodic stationary process ARMA McMillan degree Kronecker indices manifold AIC strong convergence weak convergence law of the iterated logarithm;Statistics
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