On asymptotic risk of selecting models for possibly nonstationary time-series

DOI10.1080/07474938.2020.1777709zbMath1490.62284OpenAlexW3035910598MaRDI QIDQ5861039

Chor-Yiu Sin, Shu-Hui Yu

Publication date: 4 March 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2020.1777709

zbMATH Keywords

asymptotic risksame-realization predictionAIC-type information criteriaBIC-type information criteriahigh-dimensional analysesstrongly sparse

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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