Model selection for (auto-)regression with dependent data

DOI10.1051/PS:2001101zbMATH Open0990.62035OpenAlexW2111620585MaRDI QIDQ4534854FDOQ4534854

Authors: Yannick Baraud, F. Comte, Gabrielle Viennet 

Publication date: 11 June 2002

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2001__5__33_0

Recommendations

• Adaptive estimation in autoregression or \(\beta\)-mixing regression via model selection
• Improved model selection method for a regression function with dependent noise
• Gaussian linear model selection in a dependent context
• Model selection for regression on a fixed design
• Adaptive estimation of an additive regression function from weakly dependent data

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Title not available (Why is that?)
• Some Comments on C P
• A new look at the statistical model identification
• Mixing: Properties and examples
• Ten Lectures on Wavelets
• Title not available (Why is that?)
• Risk bounds for model selection via penalization
• Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
• Wavelets on the interval and fast wavelet transforms
• Model selection for regression on a fixed design
• Selection of the order of an autoregressive model by Akaike's information criterion
• Exponential inequalities for martingales, with application to maximum likelihood estimation for counting processes
• How many bins should be put in a regular histogram
• Title not available (Why is that?)
• Minimax estimation via wavelet shrinkage
• Regression-type inference in nonparametric autoregression
• Some Limit Theorems for Random Functions. I
• On The Spectrum Of Stationary Gaussian Sequences Satisfying the Strong Mixing Condition I. Necessary Conditions
• On Strong Mixing Conditions for Stationary Gaussian Processes
• An optimal selection of regression variables
• Title not available (Why is that?)
• Model selection for regression on a random design
• Minimum complexity regression estimation with weakly dependent observations
• Adaptive estimation in autoregression or \(\beta\)-mixing regression via model selection
• Memory-universal prediction of stationary random processes
• An adaptive compression algorithm in Besov spaces
• On nonparametric estimation in nonlinear AR(1)-models
• A Family of Asymptotically Optimal Methods for Choosing the Order of a Projective Regression Estimate
• Title not available (Why is that?)
• Critères d'ergodicité géométrique ou arithmétique de modèles linéaires pertubés à représentation markovienne

Cited In (29)

• Nonparametric estimation for independent and identically distributed stochastic differential equations with space-time dependent coefficients
• Improved model selection method for a regression function with dependent noise
• Data-driven model selection for same-realization predictions in autoregressive processes
• A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
• Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
• Some applications of concentration inequalities to statistics
• Order Determination in Nonlinear Time Series by Penalized Least-Squares
• Nonparametric adaptive estimation for interacting particle systems
• A new algorithm for fixed design regression and denoising
• A Bernstein-type inequality for suprema of random processes with applications to model selection in non-Gaussian regression
• Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
• Nonparametric estimation for stochastic volatility models
• Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
• Adaptive estimation in autoregression or \(\beta\)-mixing regression via model selection
• Nonparametric drift estimation from diffusions with correlated Brownian motions
• Adaptive Estimation of Hazard Rate with Censored Data
• Penalized nonparametric drift estimation for a multidimensional diffusion process
• Model selection: from theory to practice
• On minimax identification of nonparametric autoregressive models
• Gaussian linear model selection in a dependent context
• Nonparametric adaptive estimation for integrated diffusions
• Spline estimation of a semiparametric GARCH model
• Penalized nonparametric mean square estimation of the coefficients of diffusion processes
• Estimating composite functions by model selection
• Nonparametric estimation of the diffusion coefficient from i.i.d. S.D.E. paths
• Automated Selection of Post-Strata using a Model-Assisted Regression Tree Estimator
• Model selection for regression with heteroskedastic and autocorrelated errors
• Histogram selection in non Gaussian regression
• Adaptive estimation for Hawkes processes; application to genome analysis

This page was built for publication: Model selection for (auto-)regression with dependent data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4534854)