Subsampling and model selection in time series analysis

DOI10.1093/BIOMET/86.3.591MaRDI QIDQ4935360zbMATH OpenOpenAlexFDO

Authors Jun-ichiro Fukuchi

Publication date 1999

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/86.3.591

zbMATH Keywords

autoregressive modelmean squared error of predictionmodel selectionsubsamplingthreshold autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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• Mean square consistency and improved rate of convergence of generalized subsampling estimator for non-stationary time series

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