AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
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Cites work
- A central limit theorem for stationary processes and the parameter estimation of linear processes
- A conversation with Hirotugu Akaike
- A derivation of the information criteria for selecting autoregressive models
- A new ship's auto pilot design through a stochastic model
- Asymptotic Inference about Predictive Ability
- Asymptotic properties of spectral estimates of second order
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Breakthroughs in statistics. Volume I: Foundations and basic theory
- Convergence analysis of parametric identification methods
- Convergence of moments of least squares estimators for the coefficients of an autoregressive process of unknown order
- Corrigenda: Properties of Predictors for Autoregressive Time Series
- Counterexamples to parsimony and BIC
- Discussion, Emphasizing the Connection between Analysis of Variance and Spectrum Analysis
- Entropy maximization principle and selection of the order of an autoregressive Gaussian process
- scientific article; zbMATH DE number 3886886 (Why is no real title available?)
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- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- Maximum likelihood estimates of incorrect Markov models for time series and the derivation of AIC
- On a distributional bound arising in autoregressive model fitting
- On Information and Sufficiency
- ON THE UNBIASEDNESS PROPERTY OF AIC FOR EXACT OR APPROXIMATING LINEAR STOCHASTIC TIME SERIES MODELS
- PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS
- Selected papers of Hirotugu Akaike
- Sequential shrinkage estimation in the general linear model
- Statistical identification for optimal control of supercritical thermal power plants
- Subsampling and model selection in time series analysis
- The asymptotic distribution of serial covariances
Cited in
(24)- Moment convergence in regularized estimation under multiple and mixed-rates asymptotics
- Moment convergence of regularized least-squares estimator for linear regression model
- On same-realization prediction in an infinite-order autoregressive process.
- Evaluating panel data forecasts under independent realization
- Model averaging multistep prediction in an infinite order autoregressive process
- Data driven time scale in Gaussian quasi-likelihood inference
- Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications
- Order selection for same-realization predictions in autoregressive processes
- VAR forecasting under misspecification
- Regressor and disturbance have moments of all orders, least squares estimator has none
- Prediction errors in nonstationary autoregressions of infinite order
- Moment bounds and mean squared prediction errors of long-memory time series
- Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
- Asymptotically efficient model selection for panel data forecasting
- Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems
- Multistep prediction of panel vector autoregressive processes
- Optimal multistep VAR forecast averaging
- Multistep forecast selection for panel data
- A conversation with David Findley
- Gaussian quasi-information criteria for ergodic Lévy driven SDE
- Uniform moment bounds of Fisher's information with applications to time series
- Efficient and consistent model selection procedures for time series
- On model selection from a finite family of possibly misspecified time series models
- Negative moment bounds for sample autocovariance matrices of stationary processes driven by conditional heteroscedastic errors and their applications
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