The prediction error of autoregressive small sample models
نویسندگان
چکیده
منابع مشابه
The prediction error of autoregressive small sample models
A fundamental problem in order selection is that one single realization of a stochastic process is used twice, for the estimation of parameters for different model orders and for the selection of the best model order. Parameters are estimated by the minimization of the residual variance; higher model orders with more estimated parameters will always give a smaller residual variance. The purpose...
متن کاملPrediction with Mixture Autoregressive Models
Mixture autoregressive (MAR) models have the attractive property that the shape of the conditional distribution of a forecast depends on the recent history of the process. In particular, it may have a varying number of modes over time. We show that the distributions of the multi-step predictors in MAR models are also mixtures and specify them analytically. In the important case when the origina...
متن کاملGeneralization error bounds for stationary autoregressive models
We derive generalization error bounds for stationary univariate autoregressive (AR) models. We show that imposing stationarity is enough to control the Gaussian complexity without further regularization. This lets us use structural risk minimization for model selection. We demonstrate our methods by predicting interest rate movements.
متن کاملMeasurement Error in Linear Autoregressive Models
Time series data are often subject to measurement error, usually the result of needing to estimate the variable of interest. While it is often reasonable to assume the measurement error is additive, that is, the estimator is conditionally unbiased for the missing true value, the measurement error variances often vary as a result of changes in the population/process over time and/or changes in s...
متن کاملPenalized Regression Models with Autoregressive Error Terms
Penalized regression methods have recently gained enormous attention in statistics and the field of machine learning due to their ability of reducing the prediction error and identifying important variables at the same time. Numerous studies have been conducted for penalized regression, but most of them are limited to the case when the data are independently observed. In this paper, we study a ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: IEEE Transactions on Acoustics, Speech, and Signal Processing
سال: 1990
ISSN: 0096-3518
DOI: 10.1109/29.56031