On model selection from a finite family of possibly misspecified time series models
type: Item
instance of: scholarly article
title: On model selection from a finite family of possibly misspecified time series models
zbMATH Open document ID: 1418.62333
DOI: 10.1214/18-AOS1706
author: Hsiang-Ling Hsu
author: Ching-Kang Ing
author: Howell Tong
published in: The Annals of Statistics
publication date: 2019-03-06T00:00:00Z
full work available at URL: https://projecteuclid.org/euclid.aos/1547197248
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62B10
Mathematics Subject Classification ID: 62M20
zbMATH DE Number: 7033161
zbMATH Keywords: AIC
zbMATH Keywords: BIC
zbMATH Keywords: misspecification-resistant information criterion
zbMATH Keywords: multistep prediction error
zbMATH Keywords: high-dimensional misspecified models
zbMATH Keywords: orthogonal greedy algorithm
MaRDI profile type: Publication
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OpenAlex ID: W2909437707
Wikidata QID: Q128567386
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description: scientific article; zbMATH DE number 7033161