Model averaging prediction for time series models with a diverging number of parameters (Q2024480): Difference between revisions

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+Statistical predictor identification
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+A new look at the statistical model identification
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+Estimation for autoregressive moving average models in the time and frequency domains
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+A Model-Averaging Approach for High-Dimensional Regression
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+Asymptotically efficient autoregressive model selection for multistep prediction
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+Banded Regularization of Autocovariance Matrices in Application to Parameter Estimation and Forecasting of Time Series
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+Regularized estimation of large covariance matrices
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+Model Selection: An Integral Part of Inference
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+Forecasting with factor-augmented regression: a frequentist model averaging approach
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+Toward optimal model averaging in regression models with time series errors
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+Nonconcave penalized likelihood with a diverging number of parameters.
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+Model averaging based on leave-subject-out cross-validation
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+Q4840212
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+The estimation of mixed moving average autoregressive systems
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+Least Squares Model Averaging
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+Least-squares forecast averaging
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+Model averaging, asymptotic risk, and regressor groups
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+Jackknife model averaging
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+Frequentist Model Average Estimators
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+Bias of the corrected AIC criterion for underfitted regression and time series models
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+Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
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+Model selection for integrated autoregressive processes of infinite order
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+On same-realization prediction in an infinite-order autoregressive process.
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+Order selection for same-realization predictions in autoregressive processes
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+Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
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+Optimal Weight Choice for Frequentist Model Average Estimators
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+Distribution theory of the least squares averaging estimator
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+Heteroscedasticity‐robust<i>Cp</i>model averaging
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+Some Comments on C P
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+Some recent advances in time series modeling
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+CONVERGENCE OF LEAST SQUARES ESTIMATES OF AUTOREGRESSIVE PARAMETERS1
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+Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
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+Least squares model averaging by Mallows criterion
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+Adaptive prediction by least squares predictors in stochastic regression models with applications to time series
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+Model averaging by jackknife criterion in models with dependent data
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+Model averaging for multivariate multiple regression models
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