Model selection for big multivariate time series data using emulators

DOI10.1080/03610918.2024.2443209MaRDI QIDQ7257456zbMATH OpenFDO

Authors Brian Wu

Publication date 4 June 2026

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2024.2443209

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• An introduction to analysis of financial data with R.
• Design and analysis of computer experiments. With comments and a rejoinder by the authors
• Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice
• Efficient global optimization of expensive black-box functions
• Emulated order identification for models of big time series data
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Introduction to Time Series and Forecasting
• The design and analysis of computer experiments.

Cited in

(1)

• Emulated FPE order identification for autoregressive models of big multivariate time series

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