Subsampling and model selection in time series analysis

DOI10.1093/BIOMET/86.3.591MaRDI QIDQ4935360zbMATHOpenAlexFDO

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

model selectionsubsamplingautoregressive modelthreshold autoregressive modelmean squared error of prediction

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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• AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
• Spectral Density Estimation for Nonstationary Data With Nonzero Mean Function
• Some properties of weakly approaching sequences of distributions
• Sub-sample model selection procedures in general-to-specific modelling
• Regression and time series model selection in small samples
• On optimal spatial subsample size for variance estimation
• Subsampling confidence intervals for parameters of atmospheric time series: block size choice and calibration
• Bayesian Subset Model Selection for Time Series

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