Automatic selection of a linear predictor through frequency domain cross-validation

DOI10.1080/03610928708829567MaRDI QIDQ3768228zbMATH OpenOpenAlexFDO

Authors Clifford Hurvich

Publication date 1987

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928708829567

zbMATH Keywords

approximately unbiased estimatordiscrete timefrequency domain cross-validationL-step ahead linear predictormean squared errornew frequency domain predictor fitting methodspectral factorizationweakly stationary stochastic process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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Cites work

• A new look at the statistical model identification
• Asymptotically efficient selection of the order by the criterion autoregressive transfer function
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Data-Driven Choice of a Spectrum Estimate: Extending the Applicability of Cross-Validation Methods
• Exact factorization of the spectral density ann its application to wrf,castiilg and time series analysis
• Fitting autoregressive models for prediction
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• Properties of Predictors in Misspecified Autoregressive Time Series Models

Cited in

(2)

• Asymptotically efficient autoregressive model selection for multistep prediction
• Constructive Cross-Validation in Linear Prediction

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