Data-driven model selection for same-realization predictions in autoregressive processes

DOI10.1007/S10463-022-00855-1MaRDI QIDQ6173728zbMATH OpenOpenAlexFDO

Authors Kare Kamila

Publication date 13 July 2023

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-022-00855-1

zbMATH Keywords

autoregressive processdata drivenefficiencymodel selectionoracle inequality

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Adaptive density deconvolution with dependent inputs
• Adaptive estimation in autoregression or \(\beta\)-mixing regression via model selection
• An introduction to the Bayes information criterion: theoretical foundations and interpretation
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Concentration around the mean for maxima of empirical processes
• Gaussian model selection
• scientific article; zbMATH DE number 1944029 (Why is no real title available?)
• Minimal penalties for Gaussian model selection
• Model selection for (auto-)regression with dependent data
• New dependence coefficients. Examples and applications to statistics
• Nonasymptotic bounds for autoregressive time series modeling.
• On same-realization prediction in an infinite-order autoregressive process.
• Optimal model selection for density estimation of stationary data under various mixing condi\-tions
• Order selection for same-realization predictions in autoregressive processes
• Regression function estimation as a partly inverse problem
• Weakly dependent chains with infinite memory

Cited in

(1)

• Specific-to-general predictor selection in approximate autoregressions -- Monte Carlo evidence and a large scale performance assessment with real data

This page was built for publication: Data-driven model selection for same-realization predictions in autoregressive processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6173728)