Asymptotically efficient autoregressive model selection for multistep prediction

DOI10.1007/BF00050857zbMath0926.62086MaRDI QIDQ1359407

R. J. Bhansali

Publication date: 22 November 1999

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

time seriesAICFPEorder determination

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (29)

VAR forecasting under misspecification ⋮ Selecting optimal multistep predictors for autoregressive processes of unknown order. ⋮ Order selection for same-realization predictions in autoregressive processes ⋮ Robustifying forecasts from equilibrium-correction systems ⋮ A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series ⋮ Least-squares forecast averaging ⋮ Projected polynomial autoregression for prediction of stationary time series ⋮ Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems ⋮ On Efficient AR Spectral Estimation for Long-Range Predictions ⋮ MULTISTEP PREDICTION IN AUTOREGRESSIVE PROCESSES ⋮ Sieve bootstrap prediction intervals ⋮ On the asymptotic behavior of a finite section of the optimal causal filter ⋮ MULTISTEP PREDICTION OF PANEL VECTOR AUTOREGRESSIVE PROCESSES ⋮ Asymptotically efficient order selection in nonstationary AR processes ⋮ Evaluating panel data forecasts under independent realization ⋮ Model averaging prediction for time series models with a diverging number of parameters ⋮ PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS ⋮ Multi-step estimators and shrinkage effect in time series models ⋮ Averaging estimators for autoregressions with a near unit root ⋮ Predictive, finite-sample model choice for time series under stationarity and non-stationarity ⋮ Model specification and selection for multivariate time series ⋮ A test for improved multi-step forecasting ⋮ ASYMPTOTICALLY EFFICIENT MODEL SELECTION FOR PANEL DATA FORECASTING ⋮ On same-realization prediction in an infinite-order autoregressive process. ⋮ Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain ⋮ Autoregressive model selection for multistep prediction ⋮ OPTIMAL MULTISTEP VAR FORECAST AVERAGING ⋮ Spectral methods for small sample time series: A complete periodogram approach ⋮ Multistep forecast selection for panel data

Cites Work

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