On predictive least squares principles
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Publication:1192957
DOI10.1214/aos/1176348511zbMath0801.62083OpenAlexW1996087748MaRDI QIDQ1192957
Publication date: 27 September 1992
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176348511
Fisher informationsimulation studypenalty termBICpredictive least squaresFICstochastic regression modelsresidual sum of squaresfixed design modelunstable autoregressive processdecomposibilityinformation-based criterionregression model selectionstrong consistency of PSL
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
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