AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.

DOI10.1006/jmva.2001.2063zbMath1180.62120OpenAlexW2072993649MaRDI QIDQ1861397

David F. Findley, Ching-Zong Wei

Publication date: 16 March 2003

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

Full work available at URL: https://doi.org/10.1006/jmva.2001.2063

zbMATH Keywords

model selectionelliptical distributionsLipschitz conditionmisspecified modelsprinciple of parsimonyuniformleast squares matrices

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

VAR forecasting under misspecification ⋮ Regressor and disturbance have moments of all orders, least squares estimator has none ⋮ Order selection for same-realization predictions in autoregressive processes ⋮ Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems ⋮ 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 ⋮ Moment convergence in regularized estimation under multiple and mixed-rates asymptotics ⋮ Moment convergence of regularized least-squares estimator for linear regression model ⋮ Gaussian quasi-information criteria for ergodic Lévy driven SDE ⋮ Uniform moment bounds of Fisher's information with applications to time series ⋮ On model selection from a finite family of possibly misspecified time series models ⋮ MULTISTEP PREDICTION OF PANEL VECTOR AUTOREGRESSIVE PROCESSES ⋮ PREDICTION ERRORS IN NONSTATIONARY AUTOREGRESSIONS OF INFINITE ORDER ⋮ Evaluating panel data forecasts under independent realization ⋮ A conversation with David Findley ⋮ ASYMPTOTICALLY EFFICIENT MODEL SELECTION FOR PANEL DATA FORECASTING ⋮ On same-realization prediction in an infinite-order autoregressive process. ⋮ Data driven time scale in Gaussian quasi-likelihood inference ⋮ OPTIMAL MULTISTEP VAR FORECAST AVERAGING ⋮ Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications ⋮ Multistep forecast selection for panel data ⋮ Model averaging multistep prediction in an infinite order autoregressive process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Convergence of moments of least squares estimators for the coefficients of an autoregressive process of unknown order
• A conversation with Hirotugu Akaike
• A new ship's auto pilot design through a stochastic model
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Entropy maximization principle and selection of the order of an autoregressive Gaussian process
• Statistical identification for optimal control of supercritical thermal power plants
• A central limit theorem for stationary processes and the parameter estimation of linear processes
• Breakthroughs in statistics. Volume I: Foundations and basic theory
• Counterexamples to parsimony and BIC
• The asymptotic distribution of serial covariances
• Selected papers of Hirotugu Akaike
• Discussion, Emphasizing the Connection between Analysis of Variance and Spectrum Analysis
• A derivation of the information criteria for selecting autoregressive models
• ON THE UNBIASEDNESS PROPERTY OF AIC FOR EXACT OR APPROXIMATING LINEAR STOCHASTIC TIME SERIES MODELS
• Sequential shrinkage estimation in the general linear model
• PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS
• Maximum likelihood estimates of incorrect Markov models for time series and the derivation of AIC
• Convergence analysis of parametric identification methods
• On a distributional bound arising in autoregressive model fitting
• Corrigenda: Properties of Predictors for Autoregressive Time Series
• Asymptotic Inference about Predictive Ability
• Subsampling and model selection in time series analysis
• Asymptotic properties of spectral estimates of second order
• On Information and Sufficiency