Order selection for possibly infinite-order non-stationary time series
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Publication:2324319
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Cites work
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- A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
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- An asymptotically optimal selection of the order of a linear process
- An optimal selection of regression variables
- Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Autoregressive process modeling via the Lasso procedure
- Boosting With theL2Loss
- Bridging AIC and BIC: A New Criterion for Autoregression
- Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Estimating the dimension of a model
- Evaluating panel data forecasts under independent realization
- Extended Bayesian information criteria for model selection with large model spaces
- scientific article; zbMATH DE number 3635352 (Why is no real title available?)
- scientific article; zbMATH DE number 1034045 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Inference in Linear Time Series Models with some Unit Roots
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Least angle regression. (With discussion)
- Least Squares Model Averaging
- Least-squares forecast averaging
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- Model selection for integrated autoregressive processes of infinite order
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- Performance bounds for parameter estimates of high-dimensional linear models with correlated errors
- Prediction errors in nonstationary autoregressions of infinite order
- Prediction of long memory processes on same-realisation
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- The Adaptive Lasso and Its Oracle Properties
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- VAR forecasting under misspecification
Cited in
(4)- Predictive, finite-sample model choice for time series under stationarity and non-stationarity
- Data driven order selection for projection estimator of the spectral density of time series with long range dependence
- Adaptive order determination for constructing time series forecasting models
- On asymptotic risk of selecting models for possibly nonstationary time-series
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