Model selection for (auto-)regression with dependent data
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Publication:4534854
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Cites work
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- scientific article; zbMATH DE number 713342 (Why is no real title available?)
- scientific article; zbMATH DE number 976356 (Why is no real title available?)
- scientific article; zbMATH DE number 3444596 (Why is no real title available?)
- scientific article; zbMATH DE number 3334737 (Why is no real title available?)
- A Family of Asymptotically Optimal Methods for Choosing the Order of a Projective Regression Estimate
- A new look at the statistical model identification
- Adaptive estimation in autoregression or \(\beta\)-mixing regression via model selection
- An adaptive compression algorithm in Besov spaces
- An optimal selection of regression variables
- Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
- Critères d'ergodicité géométrique ou arithmétique de modèles linéaires pertubés à représentation markovienne
- Exponential inequalities for martingales, with application to maximum likelihood estimation for counting processes
- How many bins should be put in a regular histogram
- Memory-universal prediction of stationary random processes
- Minimax estimation via wavelet shrinkage
- Minimum complexity regression estimation with weakly dependent observations
- Mixing: Properties and examples
- Model selection for regression on a fixed design
- Model selection for regression on a random design
- On Strong Mixing Conditions for Stationary Gaussian Processes
- On The Spectrum Of Stationary Gaussian Sequences Satisfying the Strong Mixing Condition I. Necessary Conditions
- On nonparametric estimation in nonlinear AR(1)-models
- Regression-type inference in nonparametric autoregression
- Risk bounds for model selection via penalization
- Selection of the order of an autoregressive model by Akaike's information criterion
- Some Comments on C P
- Some Limit Theorems for Random Functions. I
- Ten Lectures on Wavelets
- Wavelets on the interval and fast wavelet transforms
Cited in
(29)- A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
- Improved model selection method for a regression function with dependent noise
- Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
- Nonparametric estimation for independent and identically distributed stochastic differential equations with space-time dependent coefficients
- Data-driven model selection for same-realization predictions in autoregressive processes
- Some applications of concentration inequalities to statistics
- Order Determination in Nonlinear Time Series by Penalized Least-Squares
- A new algorithm for fixed design regression and denoising
- Nonparametric adaptive estimation for interacting particle systems
- 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
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