Model averaging multistep prediction in an infinite order autoregressive process

DOI10.1007/S11424-022-0311-9OpenAlexW4289516908MaRDI QIDQ2109293FDOQ2109293

Tao Jiang, Huifang Yuan, Peng Lin, 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

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• scientific article; zbMATH DE number 1396194

zbMATH Keywords

autoregressive processasymptotic optimalitymultistep predictionsame-realization prediction

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Model averaging in a multiplicative heteroscedastic model
• Model averaging based on leave-subject-out cross-validation
• Frequentist model averaging for threshold models
• Asymptotic optimality of the nonnegative garrote estimator under heteroscedastic errors

Cited In (2)

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

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