Adaptive Order Determination for Constructing Time Series Forecasting Models

DOI10.1080/03610926.2013.800881zbMath1343.62074OpenAlexW2215098170MaRDI QIDQ2807609

Sergio G. Koreisha, Yongli Zhang

Publication date: 25 May 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.800881

zbMATH Keywords

robustnesseffective sample sizeARMA processesautoregressive moving average (ARMA)autoregressive representationsmaximum a priori determined order limits

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical ranking and selection procedures (62F07)

Related Items (1)

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

Cites Work

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• Can the strengths of AIC and BIC be shared? A conflict between model indentification and regression estimation
• PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS
• Regression and time series model selection in small samples
• An optimal selection of regression variables
• Forecasting with serially correlated regression models
• On the error of prediction of a time series
• The Estimation of Prediction Error

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