The class of nonlinear stochastic regression models includes most of the linear and nonlinear models used in time series, stochastic control and stochastic approximation schemes. The consistency of ...
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 ...
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