Nonparametric Lag Selection for Time Series

DOI10.1111/1467-9892.00193zbMath0974.62077OpenAlexW2058622647WikidataQ61865782 ScholiaQ61865782MaRDI QIDQ2744945

Rolf Tschernig, Lijian Yang

Publication date: 9 October 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00193

zbMATH Keywords

consistencyheteroskedasticityoverfittingfinal prediction errornonlinear autoregressionplug-in bandwidthunderfitting

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Uses Software

• KernSmooth

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