Adaptive order determination for constructing time series forecasting models

DOI10.1080/03610926.2013.800881MaRDI QIDQ2807609zbMATH OpenOpenAlexFDO

Authors Yongli Zhang, Sergio G. Koreisha

Publication date 25 May 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.800881

zbMATH Keywords

robustnessARMA processeseffective sample sizeautoregressive moving average (ARMA)autoregressive representationsmaximum a priori determined order limits

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical ranking and selection procedures (62F07)

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Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• An optimal selection of regression variables
• Can the strengths of AIC and BIC be shared? A conflict between model indentification and regression estimation
• Estimating the dimension of a model
• Forecasting with serially correlated regression models
• Model selection: a Lagrange optimization approach
• On the error of prediction of a time series
• Order selection in ARMA models using the focused information criterion
• PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS
• Regression and time series model selection in small samples
• The Estimation of Prediction Error
• The estimation of the order of an ARMA process

Cited in

(2)

• Adaptive order selection for autoregressive models
• Predictive, finite-sample model choice for time series under stationarity and non-stationarity

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