Model averaging based on leave-subject-out cross-validation for vector autoregressions (Q1740272)

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Model averaging based on leave-subject-out cross-validation for vector autoregressions
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    Model averaging based on leave-subject-out cross-validation for vector autoregressions (English)
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    30 April 2019
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    asymptotic optimality
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    consistency
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    leave-subject-out cross-validation
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    model averaging
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    vector autoregressions
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