Autoregressive model selection for multistep prediction

DOI10.1016/S0378-3758(98)00220-1MaRDI QIDQ1300940zbMATH OpenFDO

Authors R. J. Bhansali

Publication date 2 April 2000

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

zbMATH Keywords

time seriesAICFPEorder determination

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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Cites work

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• A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
• An Extension of a Theorem of G. Szego and Its Application to the Study of Stochastic Processes
• Asymptotically efficient autoregressive model selection for multistep prediction
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• ESTIMATION OF THE MOVING-AVERAGE REPRESENTATION OF A STATIONARY PROCESS BY AUTOREGRESSIVE MODEL FITTING
• ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING
• Estimation based on one step ahead prediction versus estimation based on multi-step ahead prediction
• Multi-step estimation and forecasting in dynamic models
• On the Bias in Estimates of Forecast Mean Squared Error
• Prediction of multivariate time series by autoregressive model fitting
• Recursive estimation of mixed autoregressive-moving average order
• Robustness of maximum likelihood estimates for multi-step predictions: The exponential smoothing case
• Some Comments on C P
• Statistical predictor identification
• The estimation of the order of an ARMA process
• Uniqueness of estimated k-step prediction models of ARMA processes

Cited in

(12)

• A test for improved multi-step forecasting
• Multistep forecast selection for panel data
• Multistep prediction of panel vector autoregressive processes
• Model averaging multistep prediction in an infinite order autoregressive process
• Two-step adaptive model selection for vector autoregressive processes
• 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
• Toward optimal multistep forecasts in non-stationary autoregressions
• Accumulative prediction error and the selection of time series models
• Selecting optimal multistep predictors for autoregressive processes of unknown order.
• Multistep prediction in autoregressive processes

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