Predictive, finite-sample model choice for time series under stationarity and non-stationarity

DOI10.48550/arXiv.1611.04460zbMath1432.62323arXiv1611.04460MaRDI QIDQ143634

Tobias Kley, Piotr Fryzlewicz, Philip Preuß, Philip Preuss, Piotr Fryzlewicz, Tobias Kley

Publication date: 14 November 2016

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.04460

zbMATH Keywords

predictionforecastingbias-variance trade-offYule-Walker estimatelocal stationarity versus stationarity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Autoregressive approximations to nonstationary time series with inference and applications, Graphical models for nonstationary time series, Predictive, finite-sample model choice for time series under stationarity and non-stationarity, Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain, forecastSNSTS, Spectral methods for small sample time series: A complete periodogram approach

Uses Software

• R

Cites Work

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