Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
نویسندگان
چکیده
منابع مشابه
Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
The predictive capability of a modification of Rissanen’s accumulated prediction error (APE) criterion, APEδn , is investigated in infinite-order autoregressive (AR(∞)) models. Instead of accumulating squares of sequential prediction errors from the beginning, APEδn is obtained by summing these squared errors from stage nδn, where n is the sample size and 0 < δn < 1 may depend on n. Under certa...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2007
ISSN: 0090-5364
DOI: 10.1214/009053606000001550