Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series

DOI10.1214/009053606000001550zbMath1118.62097arXiv0708.2373OpenAlexW2055301467MaRDI QIDQ2642748

Ching-Kang Ing

Publication date: 4 September 2007

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

Full work available at URL: https://arxiv.org/abs/0708.2373

zbMATH Keywords

asymptotic efficiencyinformation criterionasymptotic equivalenceorder selectionaccumulated prediction errorsoptimal forecasting

Mathematics Subject Classification ID

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

Related Items (24)

Least-squares forecast averaging ⋮ Model selection: a Lagrange optimization approach ⋮ Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems ⋮ Consistent model selection criteria and goodness-of-fit test for common time series models ⋮ Simultaneous confidence bands for sequential autoregressive fitting ⋮ Toward optimal model averaging in regression models with time series errors ⋮ Selection of linear mixed‐effects models for clustered data ⋮ Forecasting time series of economic processes by model averaging across data frames of various lengths ⋮ Model selection for weakly dependent time series forecasting ⋮ Model selection for high-dimensional linear regression with dependent observations ⋮ Parametric or nonparametric? A parametricness index for model selection ⋮ Asymptotic theory of generalized information criterion for geostatistical regression model selection ⋮ On model selection from a finite family of possibly misspecified time series models ⋮ Cross-validation for selecting a model selection procedure ⋮ Estimating Prediction Error: Cross-Validation vs. Accumulated Prediction Error ⋮ PREDICTION ERRORS IN NONSTATIONARY AUTOREGRESSIONS OF INFINITE ORDER ⋮ Finite sample FPE and AIC criteria for autoregressive model order selection using same-realization predictions ⋮ Model averaging prediction for time series models with a diverging number of parameters ⋮ Predictor Selection for Positive Autoregressive Processes ⋮ Model selection for integrated autoregressive processes of infinite order ⋮ Banded Regularization of Autocovariance Matrices in Application to Parameter Estimation and Forecasting of Time Series ⋮ Order selection for possibly infinite-order non-stationary time series ⋮ Multistep forecast selection for panel data ⋮ On asymptotic risk of selecting models for possibly nonstationary time-series

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