Automatic selection of a linear predictor through frequency domain cross-validation

DOI10.1080/03610928708829567zbMath0631.62104OpenAlexW2027098222MaRDI QIDQ3768228

Clifford M. Hurvich

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1080/03610928708829567

zbMATH Keywords

spectral factorizationmean squared errordiscrete timeweakly stationary stochastic processapproximately unbiased estimatorfrequency domain cross-validationL-step ahead linear predictornew frequency domain predictor fitting method

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items (1)

Asymptotically efficient autoregressive model selection for multistep prediction

Cites Work

• Asymptotically efficient selection of the order by the criterion autoregressive transfer function
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Fitting autoregressive models for prediction
• Exact factorization of the spectral density ann its application to wrf,castiilg and time series analysis
• Data-Driven Choice of a Spectrum Estimate: Extending the Applicability of Cross-Validation Methods
• Properties of Predictors in Misspecified Autoregressive Time Series Models
• A new look at the statistical model identification
• Unnamed Item

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