Determining a portfolio of linear time series models

DOI10.1093/biomet/74.1.125zbMath0604.62085OpenAlexW2036390019MaRDI QIDQ3740859

D. S. Poskitt, A. R. Tremayne

Publication date: 1987

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/74.1.125

zbMATH Keywords

AICBICsimulation experimentslinear time series modelsselection criteriaorder determinationautoregressive-moving averageposterior odds ratiosgrades of evidenceone step ahead prediction error varianceportfolio of models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Model specification and selection for multivariate time series ⋮ Bootstrap order selection for autoregressive models

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