Subsampling and model selection in time series analysis

DOI10.1093/biomet/86.3.591zbMath0949.62076OpenAlexW1971958352MaRDI QIDQ4935360

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 selectionautoregressive modelsubsamplingthreshold autoregressive modelmean squared error of prediction

Mathematics Subject Classification ID

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

Related Items (5)

Spectral Density Estimation for Nonstationary Data With Nonzero Mean Function ⋮ On optimal spatial subsample size for variance estimation ⋮ Subsampling Variance Estimation for Non‐stationary Spatial Lattice Data ⋮ Some properties of weakly approaching sequences of distributions ⋮ AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.

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