PREDICTION-FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS
Author:
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-842X.2007.00487.x/fullpdf
Reference23 articles.
1. A new look at statistical model identification;Akaike;IEEE Trans. Automat. Control,1974
2. Asymptotically efficient autoregressive model selection for multistep prediction;Bhansali;Ann. Inst. Statist. Math.,1996
3. Generalised autoregressive conditional heteroskedasticity;Bollerslev;J. Econometrics,1986
4. The focused information criterion [with discussion];Claeskens;J. Amer. Statist. Assoc.,2003
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