PREDICTION ERRORS IN NONSTATIONARY AUTOREGRESSIONS OF INFINITE ORDER

DOI10.1017/S0266466609990107zbMath1191.62159OpenAlexW2043458710MaRDI QIDQ3577701

Shu-Hui Yu, Chor-Yiu Sin, Ching-Kang Ing

Publication date: 23 July 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609990107

Mathematics Subject Classification ID

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

Related Items (7)

A note on mean squared prediction error under the unit root model with deterministic trend ⋮ Moment bounds and mean squared prediction errors of long-memory time series ⋮ Toward optimal multistep forecasts in non-stationary autoregressions ⋮ Model averaging for asymptotically optimal combined forecasts ⋮ Model selection for integrated autoregressive processes of infinite order ⋮ Order selection for possibly infinite-order non-stationary time series ⋮ On asymptotic risk of selecting models for possibly nonstationary time-series

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• Asymptotic Toeplitz Operators
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• Properties of Predictors for Autoregressive Time Series
• AR( infinity ) estimation and nonparametric stochastic complexity
• Time Series Regression with a Unit Root
• A new look at the statistical model identification

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