Autoregressive model selection based on a prediction perspective
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Recommendations
- Adaptive order selection for autoregressive models
- PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS
- New autoregressive (AR) order selection criteria based on the prediction error estimation
- Order selection in ARMA models using the focused information criterion
- Order selection for AR models by predictive least squares
Cites work
- scientific article; zbMATH DE number 842531 (Why is no real title available?)
- A Joint Regression Variable and Autoregressive Order Selection Criterion
- Approximate efficiency of a selection procedure for the number of regression variables
- Estimating the Error Rate of a Prediction Rule: Improvement on Cross-Validation
- Estimating the dimension of a model
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- On Measuring and Correcting the Effects of Data Mining and Model Selection
- Optimal Geostatistical Model Selection
- PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS
- Quasi-maximum likelihood estimation of stochastic volatility models
- The Estimation of Prediction Error
Cited in
(7)- Adaptive order selection for autoregressive models
- Specific-to-general predictor selection in approximate autoregressions -- Monte Carlo evidence and a large scale performance assessment with real data
- Predictive discrimination for autoregressive processes
- Predictive Density Order Selection of Periodic AR Models
- PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS
- New autoregressive (AR) order selection criteria based on the prediction error estimation
- Predictability and model selection in the context of ARCH models
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