Optimal model averaging based on leave-\(h\)-out forward-validation for threshold autoregressive models (Q6548802)
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scientific article; zbMATH DE number 7858690
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| English | Optimal model averaging based on leave-\(h\)-out forward-validation for threshold autoregressive models |
scientific article; zbMATH DE number 7858690 |
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Optimal model averaging based on leave-\(h\)-out forward-validation for threshold autoregressive models (English)
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3 June 2024
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asymptotic optimality
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model uncertainty
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prediction
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weight-choosing criterion
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