Model averaging multistep prediction in an infinite order autoregressive process

DOI10.1007/S11424-022-0311-9MaRDI QIDQ2109293zbMATH OpenOpenAlexFDO

Authors Huifang Yuan, Peng Lin, Tao Jiang, Jinfeng Xu

Publication date 20 December 2022

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-022-0311-9

zbMATH Keywords

autoregressive processasymptotic optimalitymultistep predictionsame-realization prediction

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(2)

• On same-realization prediction in an infinite-order autoregressive process.
• Optimal model average prediction in orthogonal kriging models

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