Predictor selection for positive autoregressive processes

DOI10.1080/01621459.2013.836974zbMATH Open1367.62272OpenAlexW1991584209MaRDI QIDQ4975347FDOQ4975347

Authors: 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

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zbMATH Keywords

unit rootmean squared prediction errormoment boundaccumulated prediction errorpositive autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and prediction (62M20)

Cites Work

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Cited In (7)

• Predictor of AR(1) process with a linear trend after preliminary unit root tests
• Specific-to-general predictor selection in approximate autoregressions -- Monte Carlo evidence and a large scale performance assessment with real data
• Moment convergence in regularized estimation under multiple and mixed-rates asymptotics
• Predictive discrimination for autoregressive processes
• Irregular nonparametric autoregression
• Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems
• A note on mean squared prediction error under the unit root model with deterministic trend

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