Fitting autoregressive models for prediction

From MaRDI portal
Publication:2540950

DOI10.1007/BF02532251zbMath0202.17301OpenAlexW4242688646WikidataQ61440885 ScholiaQ61440885MaRDI QIDQ2540950

Hirotugu Akaike

Publication date: 1969

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

Full work available at URL: https://doi.org/10.1007/bf02532251



Related Items

Some connections between Bayesian and non-Bayesian methods for regression model selection, Hidden Markov models approach to the analysis of array CGH data, The mutual causality analysis between the stock and futures markets, Selecting optimal multistep predictors for autoregressive processes of unknown order., On a criterion for the selection of models for stationary time series, Nonparametric time series regression, Testing causality using efficiently parametrized vector ARMA models, Model selection for forecasting, Order selection for same-realization predictions in autoregressive processes, New approaches for channel prediction based on sinusoidal modeling, On the connection between model selection criteria and quadratic discrimination in ARMA time series models, Factor analysis and AIC, Identification of nonlinear system structure and parameters using regime decomposition, Statistical analysis of DWT coefficients of fGn processes using ARFIMA(p,d,q) models, An efficient branch-and-bound strategy for subset vector autoregressive model selection, Neural networks and logistic regression: Part I, Cointegration, causality and export-led growth in Mexico, 1895-1992, Estimation and decomposition of food price inflation risk, Controlling Energy Utilisation at Reheat Furnace Using Time Series Model, Twenty-one ML estimators for model selection, Improved model selection criteria for SETAR time series models, Modal identification of civil structures via covariance-driven stochastic subspace method, Bootstrap order determination for ARMA models: a comparison between different model selection criteria, Introducing model uncertainty by moving blocks bootstrap, Nonstationary time series identification, Consistent order estimation for linear stochastic feedback control systems (CARMA model), High-dimensional tests for functional networks of brain anatomic regions, Identification of nonlinear systems using empirical data and prior knowledge -- An optimization approach, Strong consistency of the regularized least-squares estimates of infinite autoregressive models, Statistical prediction of air pollution levels using non-physical models, Qualitative and asymptotic performance of SNP density estimators, Linear unlearning for cross-validation, Identifying the determinants of foreign direct investment: a data-specific model selection approach, A new ship's auto pilot design through a stochastic model, Order selection for heteroscedastic autoregression: a study on concentration, Simultaneous confidence bands for sequential autoregressive fitting, Tariff endogeneity: Evidence from 19th century Europe, Exports and economic growth: Evidence from 19th Century Europe, Determining the number of components in PLS regression on incomplete data set, Frequency domain versus time domain methods in system identification, Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests, Conditional and unconditional methods for selecting variables in linear mixed models, Data analysis and statistical estimation for time series: improving presentation and interpretation, Variable selection strategies in survival models with multiple imputations, Multidimensional scaling analysis of financial stocks based on Kronecker-delta dissimilarity, Using radial basis function networks for function approximation and classification, Filtering nonlinear spatio-temporal chaos with autoregressive linear stochastic models, Simultaneous confidence bands for Yule-Walker estimators and order selection, The bivariate generalized linear failure rate distribution and its multivariate extension, Aggregation of space-time processes., A large-sample model selection criterion based on Kullback's symmetric divergence, Parametric or nonparametric? A parametricness index for model selection, Misparametrization subsets for penalized least squares model selection, Identification of protein coding regions in the eukaryotic DNA sequences based on marple algorithm and wavelet packets transform, Estimating the dimension of a linear system, Statistical inference in dynamic panel data models, Inference and prediction for modified Weibull distribution based on doubly censored samples, From data to stochastic models, A switch convergence for a small perturbation of a linear recurrence equation, Identification of multivariate AR-models by threshold accepting, System identification methods for (operational) modal analysis: review and comparison, Generalized information criterion for the AR model, Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process, Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases, A semiparametric model selection criterion with applications to the marginal structural model, An improved Akaike information criterion for state-space model selection, Tuning parameter selection for the adaptive LASSO in the autoregressive model, Non-monotonic penalizing for the number of structural breaks, Nonparametric lag selection for nonlinear additive autoregressive models, Selection of the neighborhood structure for space-time Markov random field models, Synoptic airflow and UK daily precipitation extremes: development and validation of a vector generalized linear model, Model identification of ARIMA family using genetic algorithms, Discovery of time-series motif from multi-dimensional data based on MDL principle, Analysis of economic growth: structural breaks, superrandomness, and nonlinear forecasting, An alternate version of the conceptual predictive statistic based on a symmetrized discrepancy measure, On determination of the order of an autoregressive model, An approach to causal modeling in fuzzy environment and its application, A small-sample criterion based on Kullback's symmetric divergence for vector autoregressive modeling, An algebraic method for constructing stable and consistent autoregressive filters, Simultaneous variable selection and parametric estimation for quantile regression, 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, Hindered growth, Model evaluation, discrepancy function estimation, and social choice theory, Predictive, finite-sample model choice for time series under stationarity and non-stationarity, A fast model identification method for networked control system, A justification of conditional confidence intervals, Bayesian learning of graphical vector autoregressions with unequal lag-lengths, 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, Application of Clarke-Gawthrop type controllers for the bottom temperature of a glass furnace, Power spectrum estimation through autoregressive model fitting, Variable selection for additive model via cumulative ratios of empirical strengths total, Statistical predictor identification, A fundamental relation between predictor identification and power spectrum estimation, Kolmogorov-Smirnov test for rolling bearing performance degradation assessment and prognosis, On the underfitting and overfitting sets of models chosen by order selection criteria., Asymptotic criteria for model selection, Model averaging multistep prediction in an infinite order autoregressive process, Model-based approach for scenario design: stress test severity and banks' resiliency, A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION, ARMA model order and parameter estimation using genetic algorithms, TIME VARYING, NONLINEAR AR MODEL IDENTIFICATION: LAINIOTIS' MULTI MODEL METHODOLOGY, A comparison of some common methods for detecting Granger noncausality, REGRESSION, AUTOREGRESSION MODELS, MULTI-FREQUENTIAL PERIODOGRAM ANALYSIS AND THE DETECTION OF PERIODIC COMPONENTS IN TIME SERIES, A SIMPLE VARIABLE SELECTION TECHNIQUE FOR NONLINEAR MODELS, Constructing NARMAX models using ARMAX models, A regression approach to the two-dataset problem, Bayesian Identification of Seasonal Autoregressive Models, On the relationship between levinson recursion and the r and s arrays for arma model identification, Term and variable selection for non-linear system identification, Forecasting ARMA models: a comparative study of information criteria focusing on MDIC, An Improved Estimation in Regression Parameter Matrix in Multivariate Regression Model, The Effect of Misspecification in Vector Autoregressive Moving Average Models on Parameter Estimation and Forecasting, J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY, Entropy-based complexity measures for gait data of patients with Parkinson's disease, Unnamed Item, ORDER IDENTIFICATION IN MISSPECIFIED AUTOREGRESSIVE TIME SERIES MODELS, The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study, ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES, PAR(1) model analysis: a web-based shiny application for analysing periodic autoregressive models, Discrete variable stochastic approximation procedures and recursive autoregressive model identification, Model selection and validation methods for non-linear systems, Modeling service-time distributions for queueing network simulation, A NEW WAY TO ESTIMATE ORDERS IN TIME SERIES, Automatic selection of a linear predictor through frequency domain cross-validation, LASSO order selection for sparse autoregression: a bootstrap approach, Measuring the Advantages of Multivariate vs. Univariate Forecasts, Pruning from Adaptive Regularization, Order Choice in Nonlinear Autoregressive Models, Data-driven predictive control in a stochastic setting: a unified framework, Quickest detection of deception attacks on cyber-physical systems with a parsimonious watermarking policy, Time series modeling of paleoclimate data, Factor Modelling for High-Dimensional Time Series: Inference and Model Selection, Model selection by multiple test procedures, Unnamed Item, A cointegration analysis of crime, economic activity, and police performance in São Paulo city, (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?, Unnamed Item, Adaptive selection of the optimal order of linear regression models using learning automata, The extended Granger causality analysis for Hodgkin–Huxley neuronal models, A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING, Time Series Analysis of Relationships Among Crypto-asset Exchange Rates, Evaluating modified generalized information criterion in presence of multicollinearity, A NOTE ON AIC ORDER DETERMINATION FOR MULTIVARIATE AUTOREGRESSIONS, ESTIMATING THE NUMBER OF TERMS IN A SINUSOIDAL REGRESSION, Identification of Linear and Nonlinear Sensory Processing Circuits from Spiking Neuron Data, GARCH model selection criteria, A Variable Selection Method for Analyzing Supersaturated Designs, SINDy-PI: a robust algorithm for parallel implicit sparse identification of nonlinear dynamics, TIME DELAY ESTIMATION, An Improved Divergence Information Criterion for the Determination of the Order of an AR Process, Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models, Order selection of a multivariate autoregressive model by a modification of the FPE criterion, ON THE CHOICE OF THE ORDER OF AUTOREGRESSIVE MODELS: A RANKING AND SELECTION APPROACH, Unnamed Item, Estimation of the order of autoregressive process, Asymptotically efficient order selection in nonstationary AR processes, Marshall–Olkin extended weibull distribution and its application to censored data, Order estimation for subspace methods, Webmining: learning from the world wide web., Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes, Low-order ARX-model approximations to the dynamics of free-convective magnetoelectrolysis, A Bayesian estimation of lag lengths in distributed lag models, Model selection with misspecified spatial covariance structure, Bootstrap-based ARMA order selection, The Doubly Adaptive LASSO for Vector Autoregressive Models, ON DETECTION OF EPILEPTIC SEIZURE WITH AN APPROACH BASED ON POWER SPECTRAL DENSITY WITH AN AR MODEL, Predicting hospital census using time series regression methods, Unnamed Item, Banded Regularization of Autocovariance Matrices in Application to Parameter Estimation and Forecasting of Time Series, Sparse identification of nonlinear dynamics for model predictive control in the low-data limit, ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS, The advantages of directly identifying continuous-time transfer function models in practical applications, Unnamed Item, Variable order smoothness priors for ill-posed inverse problems, Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models, DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA, Multistep forecast selection for panel data, Estimation in the partially nonlinear model by continuous optimization, A recursive in order algorithm for least squares estimates of an autoregressive process, A simple order-determination method based on a generalized adaptive law, Simultaneous sparse model selection and coefficient estimation for heavy-tailed autoregressive processes, A UNIFIED APPROACH TO CONFIDENCE BOUNDS FOR THE AUTOREGRESSIVE SPECTRAL ESTIMATOR, ON THE PROBABILITY OF ERROR WHEN USING A GENERAL AKAIKE-TYPE CRITERION TO ESTIMATE AUTOREGRESSION ORDER, VARIANCE ESTIMATION FOR QUADRATIC STATISTICS, Bootstrap order selection for autoregressive models, On the Problem in Model Selection of Neural Network Regression in Overrealizable Scenario, Stochastic approximation models in estimating productivity



Cites Work