Predictor Selection for Positive Autoregressive Processes

DOI10.1080/01621459.2013.836974zbMath1367.62272OpenAlexW1991584209MaRDI QIDQ4975347

Chiao-Yi Yang, Ching-Kang Ing

Publication date: 4 August 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2013.836974

zbMATH Keywords

unit rootmean squared prediction errormoment boundaccumulated prediction errorpositive autoregressive model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Statistics of extreme values; tail inference (62G32)

Related Items (2)

Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems ⋮ Moment convergence in regularized estimation under multiple and mixed-rates asymptotics

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