Predictor Selection for Positive Autoregressive Processes

DOI10.1080/01621459.2013.836974zbMath1367.62272MaRDI QIDQ4975347

Ching-Kang Ing, Chiao-Yi Yang

Publication date: 4 August 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2013.836974

zbMATH Keywords

unit root; mean squared prediction error; moment bound; accumulated prediction error; positive autoregressive model

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M09: Non-Markovian processes: estimation

62G32: Statistics of extreme values; tail inference