Toward optimal model averaging in regression models with time series errors (Q888324)
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scientific article; zbMATH DE number 6502480
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Toward optimal model averaging in regression models with time series errors |
scientific article; zbMATH DE number 6502480 |
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Toward optimal model averaging in regression models with time series errors (English)
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30 October 2015
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asymptotic efficiency
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autocovariance-corrected Mallows model averaging
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banded Cholesky factorization
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feasible generalized least squares estimator
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high-dimensional covariance matrix
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time series errors
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0.90946543
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0.8975683
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0.8975683
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0.8922061
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0.88259923
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