Feature matching in time series modeling

DOI10.1214/10-STS345zbMath1219.62142arXiv1104.3073OpenAlexW2080601382MaRDI QIDQ635410

Howell Tong, Yingcun Xia

Publication date: 19 August 2011

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.3073

zbMATH Keywords

periodicitymaximum likelihoodBayesian statisticscalibrationdata miningoptimal parametersunspotsnonlinear time seriesepidemiologymisspecified modelsfeature matchingmeasurement errorsmeaslesmodel averagingleast squares estimationpopulation modelsthreshold autoregressive modelsskeletonACFobservation errorsblack-box modelsblowfliesBox's dictumcatch-all approachecological populationsfeature consistencymulti-step-ahead predictionsea levelsshort time seriesSIR epidemiological modelsubstantive modelsWhittle's likelihoodXT-likelihood

Mathematics Subject Classification ID

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

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