Fitting autoregressive models for prediction

From MaRDI portal
Publication:2540950


DOI10.1007/BF02532251zbMath0202.17301WikidataQ61440885 ScholiaQ61440885MaRDI QIDQ2540950

Hirotugu Akaike

Publication date: 1969

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)


62M20: Inference from stochastic processes and prediction


Related Items

Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models, Asymptotically efficient order selection in nonstationary AR processes, Order estimation for subspace methods, Webmining: learning from the world wide web., Low-order ARX-model approximations to the dynamics of free-convective magnetoelectrolysis, Constructing NARMAX models using ARMAX models, ORDER IDENTIFICATION IN MISSPECIFIED AUTOREGRESSIVE TIME SERIES MODELS, A NEW WAY TO ESTIMATE ORDERS IN TIME SERIES, Pruning from Adaptive Regularization, MULTI-FREQUENTIAL PERIODOGRAM ANALYSIS AND THE DETECTION OF PERIODIC COMPONENTS IN TIME SERIES, A SIMPLE VARIABLE SELECTION TECHNIQUE FOR NONLINEAR MODELS, DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA, TIME VARYING, NONLINEAR AR MODEL IDENTIFICATION: LAINIOTIS' MULTI MODEL METHODOLOGY, Bayesian Identification of Seasonal Autoregressive Models, Term and variable selection for non-linear system identification, Order Choice in Nonlinear Autoregressive Models, Adaptive selection of the optimal order of linear regression models using learning automata, A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION, A comparison of some common methods for detecting Granger noncausality, A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING, Model identification of ARIMA family using genetic algorithms, An approach to causal modeling in fuzzy environment and its application, Statistical prediction of air pollution levels using non-physical models, Identification of multivariate AR-models by threshold accepting, Asymptotic criteria for model selection, Introducing model uncertainty by moving blocks bootstrap, Strong consistency of the regularized least-squares estimates of infinite autoregressive models, Statistical inference in dynamic panel data models, Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process, A semiparametric model selection criterion with applications to the marginal structural model, An improved Akaike information criterion for state-space model selection, Evaluation and selection of models for out-of-sample prediction when the sample size is small relative to the complexity of the data-generating process, On a criterion for the selection of models for stationary time series, Testing causality using efficiently parametrized vector ARMA models, Model selection for forecasting, Factor analysis and AIC, Nonstationary time series identification, Consistent order estimation for linear stochastic feedback control systems (CARMA model), Qualitative and asymptotic performance of SNP density estimators, A new ship's auto pilot design through a stochastic model, Frequency domain versus time domain methods in system identification, Estimating the dimension of a linear system, On model selection in the computer age, AR and ARMA spectral estimation, Plastic algorithm for adaptive vector quantisation, Specification via model selection in vector error correction models, On the underfitting and overfitting sets of models chosen by order selection criteria., Nonparametric time series regression, Neural networks and logistic regression: Part I, Cointegration, causality and export-led growth in Mexico, 1895-1992, Tariff endogeneity: Evidence from 19th century Europe, Exports and economic growth: Evidence from 19th Century Europe, Aggregation of space-time processes., Some connections between Bayesian and non-Bayesian methods for regression model selection, Selection of the neighborhood structure for space-time Markov random field models, Discovery of time-series motif from multi-dimensional data based on MDL principle, Analysis of economic growth: structural breaks, superrandomness, and nonlinear forecasting, Application of Clarke-Gawthrop type controllers for the bottom temperature of a glass furnace, Hidden Markov models approach to the analysis of array CGH data, Selecting optimal multistep predictors for autoregressive processes of unknown order., Identification of nonlinear system structure and parameters using regime decomposition, Twenty-one ML estimators for model selection, Identification of nonlinear systems using empirical data and prior knowledge -- An optimization approach, Linear unlearning for cross-validation, A large-sample model selection criterion based on Kullback's symmetric divergence, From data to stochastic models, On determination of the order of an autoregressive model, Order selection for same-realization predictions in autoregressive processes, On the connection between model selection criteria and quadratic discrimination in ARMA time series models, Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases, A small-sample criterion based on Kullback's symmetric divergence for vector autoregressive modeling, A fast model identification method for networked control system, Power spectrum estimation through autoregressive model fitting, Statistical predictor identification, A fundamental relation between predictor identification and power spectrum estimation, Improved model selection criteria for SETAR time series models, Order selection of a multivariate autoregressive model by a modification of the FPE criterion, A recursive in order algorithm for least squares estimates of an autoregressive process, ON THE PROBABILITY OF ERROR WHEN USING A GENERAL AKAIKE-TYPE CRITERION TO ESTIMATE AUTOREGRESSION ORDER, VARIANCE ESTIMATION FOR QUADRATIC STATISTICS, On the Problem in Model Selection of Neural Network Regression in Overrealizable Scenario, ON THE CHOICE OF THE ORDER OF AUTOREGRESSIVE MODELS: A RANKING AND SELECTION APPROACH, The Effect of Misspecification in Vector Autoregressive Moving Average Models on Parameter Estimation and Forecasting, ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES, Discrete variable stochastic approximation procedures and recursive autoregressive model identification, Measuring the Advantages of Multivariate vs. Univariate Forecasts, Marshall–Olkin extended weibull distribution and its application to censored data, Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes, ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS, A simple order-determination method based on a generalized adaptive law, A UNIFIED APPROACH TO CONFIDENCE BOUNDS FOR THE AUTOREGRESSIVE SPECTRAL ESTIMATOR, Stochastic approximation models in estimating productivity, REGRESSION, AUTOREGRESSION MODELS, On the relationship between levinson recursion and the r and s arrays for arma model identification, Model selection and validation methods for non-linear systems, Automatic selection of a linear predictor through frequency domain cross-validation, Model selection by multiple test procedures, A NOTE ON AIC ORDER DETERMINATION FOR MULTIVARIATE AUTOREGRESSIONS, ESTIMATING THE NUMBER OF TERMS IN A SINUSOIDAL REGRESSION, TIME DELAY ESTIMATION, Unnamed Item, Modeling service-time distributions for queueing network simulation, Estimation of the order of autoregressive process, Predicting hospital census using time series regression methods, Bootstrap order selection for autoregressive models



Cites Work