On same-realization prediction in an infinite-order autoregressive process.

DOI10.1016/S0047-259X(02)00029-5zbMath1038.62086OpenAlexW2124709521MaRDI QIDQ1810711

Ching-Kang Ing, Ching-Zong Wei

Publication date: 9 June 2003

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0047-259x(02)00029-5

zbMATH Keywords

Goodness of fitAutoregressive processModel complexityLeast squaresRidge regressionSame-realization prediction

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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