메뉴 건너뛰기




Volumn 19, Issue 2, 2003, Pages 254-279

Multistep prediction in autoregressive processes

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0037821224     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466603192031     Document Type: Article
Times cited : (102)

References (18)
  • 1
    • 0001618722 scopus 로고    scopus 로고
    • Asymptotically efficient autoregressive model selection for multistep prediction
    • Bhansali, R.J. (1996) Asymptotically efficient autoregressive model selection for multistep prediction. Annals of the Institute of Statistical Mathematics 48, 577-602.
    • (1996) Annals of the Institute of Statistical Mathematics , vol.48 , pp. 577-602
    • Bhansali, R.J.1
  • 2
    • 0642306129 scopus 로고    scopus 로고
    • Direct autoregressive predictors for multistep prediction: Order selection and performance relative to the plug in predictors
    • Bhansali, R.J. (1997) Direct autoregressive predictors for multistep prediction: order selection and performance relative to the plug in predictors. Statistica Sinica 7, 425-449.
    • (1997) Statistica Sinica , vol.7 , pp. 425-449
    • Bhansali, R.J.1
  • 3
    • 0011903063 scopus 로고
    • Convergence of moments of least squares estimators for the coefficients of an autoregressive process of unknown order
    • Bhansali, R.J. & F. Papangelou (1991) Convergence of moments of least squares estimators for the coefficients of an autoregressive process of unknown order. Annals of Statistics 19, 1155-1162.
    • (1991) Annals of Statistics , vol.19 , pp. 1155-1162
    • Bhansali, R.J.1    Papangelou, F.2
  • 5
    • 84986847991 scopus 로고
    • On some ambiguities associated with the fitting of ARMA models to time series
    • Findley, D.F. (1984) On some ambiguities associated with the fitting of ARMA models to time series. Journal of Time Series Analysis 5, 213-225.
    • (1984) Journal of Time Series Analysis , vol.5 , pp. 213-225
    • Findley, D.F.1
  • 6
    • 0036857534 scopus 로고    scopus 로고
    • AIC, overfitting principles, and boundedness of moments of inverse matrices for vector autoregressive models fit to weakly stationary time series
    • forthcoming
    • Findley, D.F. & C.Z. Wei (2002) AIC, overfitting principles, and boundedness of moments of inverse matrices for vector autoregressive models fit to weakly stationary time series. Journal of Multivariate Analysis, forthcoming.
    • (2002) Journal of Multivariate Analysis
    • Findley, D.F.1    Wei, C.Z.2
  • 9
    • 0037887813 scopus 로고
    • Strong consistency of the PLS criterion for order determination of autoregressive processes
    • Hemerly, E.M. & M.H.A. Davis (1989) Strong consistency of the PLS criterion for order determination of autoregressive processes. Annals of Statistics 17, 941-946.
    • (1989) Annals of Statistics , vol.17 , pp. 941-946
    • Hemerly, E.M.1    Davis, M.H.A.2
  • 10
    • 0037530782 scopus 로고    scopus 로고
    • A note on mean-squared prediction errors of the least squares predictors in random walk models
    • Ing, C.K. (2001) A note on mean-squared prediction errors of the least squares predictors in random walk models. Journal of Time Series Analysis 22, 711-724.
    • (2001) Journal of Time Series Analysis , vol.22 , pp. 711-724
    • Ing, C.K.1
  • 12
    • 0038539264 scopus 로고    scopus 로고
    • On same-realization prediction in an infinite-order autoregressive process
    • forthcoming
    • Ing, C.K. & C.Z. Wei (2002) On same-realization prediction in an infinite-order autoregressive process. Journal of Multivariate Analysis, forthcoming.
    • (2002) Journal of Multivariate Analysis
    • Ing, C.K.1    Wei, C.Z.2
  • 14
    • 21344479420 scopus 로고
    • On a distributional bound arising in autoregressive model fitting
    • Papangelou, F. (1994) On a distributional bound arising in autoregressive model fitting. Journal of Applied Probability 31, 401-408.
    • (1994) Journal of Applied Probability , vol.31 , pp. 401-408
    • Papangelou, F.1
  • 15
    • 0038563967 scopus 로고
    • Order estimation by accumulated prediction errors
    • Essays in Time Series and Applied Processes, special volume
    • Rissanen, J. (1986) Order estimation by accumulated prediction errors. In Essays in Time Series and Applied Processes, special volume 23A of Journal of Applied Probability, 55-61.
    • (1986) Journal of Applied Probability , vol.23 A , pp. 55-61
    • Rissanen, J.1
  • 16
    • 0000120766 scopus 로고
    • Estimating of dimension of a model
    • Schwarz, G. (1978) Estimating of dimension of a model. Annals of Statistics 6, 461-464.
    • (1978) Annals of Statistics , vol.6 , pp. 461-464
    • Schwarz, G.1
  • 17
    • 0001314395 scopus 로고
    • Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
    • Shibata, R. (1980) Asymptotically efficient selection of the order of the model for estimating parameters of a linear process. Annals of Statistics 8, 147-164.
    • (1980) Annals of Statistics , vol.8 , pp. 147-164
    • Shibata, R.1
  • 18
    • 0001732503 scopus 로고
    • Adaptive prediction by least squares predictors in stochastic regression models with application to time series
    • Wei, C.Z. (1987) Adaptive prediction by least squares predictors in stochastic regression models with application to time series. Annals of Statistics 15, 1667-1682.
    • (1987) Annals of Statistics , vol.15 , pp. 1667-1682
    • Wei, C.Z.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.