Sequential model selection method for nonparametric autoregression-Reference-Cited by-同舟云学术

Sequential model selection method for nonparametric autoregression

Published:2019-10-02 Issue:4 Volume:38 Page:437-460
ISSN:0747-4946
Container-title:Sequential Analysis
language:en
Short-container-title:Sequential Analysis

Author:

Arkoun Ouerdia¹²,Brua Jean-Yves²,Pergamenchtchikov Serguei²³

Affiliation:

1. Sup'Biotech, Laboratoire BIRL, Villejuif, France;

2. Normandie Université, Université de Rouen, Laboratoire de Mathématiques Raphaël Salem, Saint-Etienne du Rouvray, France;

3. International Laboratory of Statistics of Stochastic Processes and Quantitative Finance, National Research Tomsk State University, Tomsk, Russian Federation

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07474946.2019.1686883

Reference25 articles.

1. The Statistical Analysis of Time Series

2. Sequential Adaptive Estimators in Nonparametric Autoregressive Models

3. Sequential robust estimation for nonparametric autoregressive models

4. Risk bounds for model selection via penalization

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