Autoregressive model selection based on a prediction perspective

DOI10.1080/02664763.2011.636418OpenAlexW2053929926MaRDI QIDQ5127005

Chun-Shu Chen, Yunhuan Lee

Publication date: 21 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2011.636418

zbMATH Keywords

time seriesAkaike information criterionBayesian information criteriongeneralized degrees of freedommean-squared prediction error

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Estimating the dimension of a model
• Quasi-maximum likelihood estimation of stochastic volatility models
• Approximate efficiency of a selection procedure for the number of regression variables
• Estimating the Error Rate of a Prediction Rule: Improvement on Cross-Validation
• PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS
• Optimal Geostatistical Model Selection
• On Measuring and Correcting the Effects of Data Mining and Model Selection
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• A Joint Regression Variable and Autoregressive Order Selection Criterion
• The Estimation of Prediction Error

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