Predictor selection for positive autoregressive processes
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Publication:4975347
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Cites work
- scientific article; zbMATH DE number 3557073 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- A note on mean squared prediction error under the unit root model with deterministic trend
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- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
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- Local Convergence of Martingales and the Law of Large Numbers
- Model selection and prediction: Normal regression
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Non-negative time series models for dry river flow
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- Strong consistency of the PLS criterion for order determination of autoregressive processes
- Time series analysis. Univariate and multivariate methods.
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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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