On model selection from a finite family of possibly misspecified time series models (Q666592): Difference between revisions

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+A new look at the statistical model identification
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+Regularized estimation in sparse high-dimensional time series models
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+Simultaneous analysis of Lasso and Dantzig selector
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+Akaike's information criterion and recent developments in information complexity
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+Model Selection and Multimodel Inference
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+Uniform moment bounds of Fisher's information with applications to time series
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+Approximating data
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+Sure Independence Screening for Ultrahigh Dimensional Feature Space
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+Counterexamples to parsimony and BIC
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+Q4840383
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+AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
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+MULTISTEP PREDICTION OF PANEL VECTOR AUTOREGRESSIVE PROCESSES
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+Evaluating panel data forecasts under independent realization
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+MULTISTEP PREDICTION IN AUTOREGRESSIVE PROCESSES
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+Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
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+A stepwise regression method and consistent model selection for high-dimensional sparse linear models
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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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+On the selection of forecasting models
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+Generalised information criteria in model selection
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+Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
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+Parametric or nonparametric? A parametricness index for model selection
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+Model Selection Principles in Misspecified Models
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+Some Comments on C P
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+Asymptotic properties of criteria for selection of variables in multiple regression
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+A strongly consistent procedure for model selection in a regression problem
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+VAR forecasting under misspecification
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+Estimating the dimension of a model
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+Q4344404
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+Selection of the order of an autoregressive model by Akaike's information criterion
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+Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
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+An optimal selection of regression variables
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+Information criteria for selecting possibly misspecified parametric models
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+Consistent nonparametric regression. Discussion
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+Q4864293
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+Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma
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+Forward Regression for Ultra-High Dimensional Variable Screening
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+On predictive least squares principles
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+Performance bounds for parameter estimates of high-dimensional linear models with correlated errors
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+Feature matching in time series modeling
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+PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE?
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+Cross-validation for selecting a model selection procedure
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