Autoregressive model selection for multistep prediction

DOI10.1016/S0378-3758(98)00220-1zbMATH Open0933.62096MaRDI QIDQ1300940FDOQ1300940

Authors: R. J. Bhansali 

Publication date: 2 April 2000

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

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zbMATH Keywords

time seriesAICFPEorder determination

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cites Work

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Cited In (12)

• Two-step adaptive model selection for vector autoregressive processes
• Multistep prediction of panel vector autoregressive processes
• A test for improved multi-step forecasting
• Multistep forecast selection for panel data
• Toward optimal multistep forecasts in non-stationary autoregressions
• Multistep prediction in autoregressive processes
• Selecting optimal multistep predictors for autoregressive processes of unknown order.
• Measuring the Advantages of Multivariate vs. Univariate Forecasts
• Selection between models through multi-step-ahead forecasting
• Order selection of a multivariate autoregressive model by a modification of the FPE criterion
• Model averaging multistep prediction in an infinite order autoregressive process
• Accumulative prediction error and the selection of time series models

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