Toward optimal multistep forecasts in non-stationary autoregressions

DOI10.3150/08-BEJ165zbMath1200.62114arXiv0906.2266MaRDI QIDQ605867

Ching-Kang Ing, Jin-Lung Lin, Shu-Hui Yu

Publication date: 15 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.2266

zbMATH Keywords

model selectionplug-in methodmean squared prediction erroraccumulated prediction errordirect prediction

Mathematics Subject Classification ID

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

Related Items (3)

Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems ⋮ Moment bounds and mean squared prediction errors of long-memory time series ⋮ Toward optimal multistep forecasts in non-stationary autoregressions

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