Model averaging based on leave-subject-out cross-validation for vector autoregressions (Q1740272)
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scientific article; zbMATH DE number 7049021
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| English | Model averaging based on leave-subject-out cross-validation for vector autoregressions |
scientific article; zbMATH DE number 7049021 |
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Model averaging based on leave-subject-out cross-validation for vector autoregressions (English)
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30 April 2019
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asymptotic optimality
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consistency
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leave-subject-out cross-validation
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model averaging
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vector autoregressions
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0.8154172897338867
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0.788334846496582
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0.7694559693336487
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0.7661476135253906
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0.7625362277030945
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