Model selection for weakly dependent time series forecasting

DOI10.3150/11-BEJ359zbMath1243.62117arXiv0902.2924MaRDI QIDQ442082

Pierre Alquier, Olivier Wintenberger

Publication date: 9 August 2012

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0902.2924

zbMATH Keywords

statistical learning; adaptative inference; aggregation of estimators; autoregression estimation; randomized estimators

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60E15: Inequalities; stochastic orderings

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Uses Software

• R

Cites Work

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