On model selection from a finite family of possibly misspecified time series models
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Cites work
- scientific article; zbMATH DE number 1034037 (Why is no real title available?)
- scientific article; zbMATH DE number 777876 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- A new look at the statistical model identification
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- A strongly consistent procedure for model selection in a regression problem
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- Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
- Akaike's information criterion and recent developments in information complexity
- An optimal selection of regression variables
- Approximating data
- Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
- Asymptotic properties of criteria for selection of variables in multiple regression
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma
- Consistent nonparametric regression. Discussion
- Counterexamples to parsimony and BIC
- Cross-validation for selecting a model selection procedure
- Estimating the dimension of a model
- Evaluating panel data forecasts under independent realization
- Feature matching in time series modeling
- Forward regression for ultra-high dimensional variable screening
- Generalised information criteria in model selection
- Information criteria for selecting possibly misspecified parametric models
- Model Selection and Multimodel Inference
- Model selection principles in misspecified models
- Multistep prediction in autoregressive processes
- Multistep prediction of panel vector autoregressive processes
- On predictive least squares principles
- On same-realization prediction in an infinite-order autoregressive process.
- On the selection of forecasting models
- Order selection for same-realization predictions in autoregressive processes
- Parametric or nonparametric? A parametricness index for model selection
- Performance bounds for parameter estimates of high-dimensional linear models with correlated errors
- Prediction/estimation with simple linear models: is it really that simple?
- Regularized estimation in sparse high-dimensional time series models
- Selection of the order of an autoregressive model by Akaike's information criterion
- Simultaneous analysis of Lasso and Dantzig selector
- Some Comments on C P
- Sure independence screening for ultrahigh dimensional feature space. With discussion and authors' reply
- Uniform moment bounds of Fisher's information with applications to time series
- VAR forecasting under misspecification
Cited in
(15)- Consistent model selection criteria and goodness-of-fit test for common time series models
- Positive-definite thresholding estimators of covariance matrices with zeros
- Strongly consistent model selection for general causal time series
- Finite Sample Performances of the Model Selection Approach in Nonparametric Model Specification for Time Series
- On consistency for time series model selection
- Estimation and variable selection for high-dimensional spatial dynamic panel data models
- An empirical study on the parsimony and descriptive power of TARMA models
- Nonsparse learning with latent variables
- Efficient and consistent model selection procedures for time series
- A generalized information criterion for high-dimensional PCA rank selection
- Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
- Variable selection for high-dimensional regression models with time series and heteroscedastic errors
- Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems
- How hard is it to pick the right model? MCS and backtest overfitting
- On asymptotic risk of selecting models for possibly nonstationary time-series
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