On model selection from a finite family of possibly misspecified time series models

DOI10.1214/18-AOS1706zbMATH Open1418.62333OpenAlexW2909437707WikidataQ128567386 ScholiaQ128567386MaRDI QIDQ666592FDOQ666592

Authors: Hsiang-Ling Hsu, Ching-Kang Ing, Howell Tong 

Publication date: 6 March 2019

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1547197248

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zbMATH Keywords

BICAIChigh-dimensional misspecified modelsmisspecification-resistant information criterionmultistep prediction errororthogonal greedy algorithm

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cites Work

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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
• On consistency for time series model selection
• Finite Sample Performances of the Model Selection Approach in Nonparametric Model Specification for Time Series
• Estimation and variable selection for high-dimensional spatial dynamic panel data models
• Nonsparse learning with latent variables
• An empirical study on the parsimony and descriptive power of TARMA models
• 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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