Model selection for weakly dependent time series forecasting

Pierre Alquier; Olivier Wintenberger

doi:10.3150/11-BEJ359

Model selection for weakly dependent time series forecasting

Pierre Alquier, Olivier Wintenberger

Institut for Matematiske Fag

23 Citationer (Scopus)

Originalsprog	Engelsk
Tidsskrift	Bernoulli
Vol/bind	18
Udgave nummer	3
Sider (fra-til)	883-913
ISSN	1350-7265
DOI	https://doi.org/10.3150/11-BEJ359
Status	Udgivet - aug. 2012

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10.3150/11-BEJ359

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title = "Model selection for weakly dependent time series forecasting",

keywords = "adaptative inference, aggregation of estimators, autoregression estimation, model selection, randomized estimators, statistical learning, time series prediction, weak dependence",

author = "Pierre Alquier and Olivier Wintenberger",

year = "2012",

month = aug,

doi = "10.3150/11-BEJ359",

language = "English",

volume = "18",

pages = "883--913",

journal = "Bernoulli",

issn = "1350-7265",

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AU - Alquier, Pierre

AU - Wintenberger, Olivier

PY - 2012/8

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KW - adaptative inference

KW - aggregation of estimators

KW - autoregression estimation

KW - model selection

KW - randomized estimators

KW - statistical learning

KW - time series prediction

KW - weak dependence

U2 - 10.3150/11-BEJ359

DO - 10.3150/11-BEJ359

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SN - 1350-7265

VL - 18

SP - 883

EP - 913

JO - Bernoulli

JF - Bernoulli

IS - 3

ER -

Model selection for weakly dependent time series forecasting

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