Optimal model averaging based on leave-\(h\)-out forward-validation for threshold autoregressive models

DOI10.1002/sta4.561MaRDI QIDQ6548802

Xinyu Zhang, Yin Liu, Zhanshou Chen, Li Xi

Publication date: 3 June 2024

Published in: Stat (Search for Journal in Brave)

zbMATH Keywords

predictionmodel uncertaintyasymptotic optimalityweight-choosing criterion

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Least-squares forecast averaging
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• Inference in TAR Models
• Functional prediction through averaging estimated functional linear regression models
• DETECTING FINANCIAL DATA DEPENDENCE STRUCTURE BY AVERAGING MIXTURE COPULAS
• Model averaging in predictive regressions
• Least Squares Model Averaging
• Maximum Likelihood Estimation of Misspecified Models
• Optimal model averaging based on forward-validation
• Penalized time-varying model averaging
• Model averaging prediction by \(K\)-fold cross-validation

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