Sequential model selection method for nonparametric autoregression

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Autoregression Approximation of a Nonparametric Diiusion Model

We consider a model of small diiusion type where the function which governs the drift term varies in a nonparametric set. We investigate discrete versions of this continuous model with respect to statistical equivalence, in the sense of the asymptotic theory of experiments. It is shown that an Euler diierence scheme as a discrete version of the stochastic diierential equation is asymptotically ...

متن کامل

Diusion approximation for nonparametric autoregression

A nonparametric statistical model of small di€usion type is compared with its discretization by a stochastic Euler di€erence scheme. It is shown that the discrete and continuous models are asymptotically equivalent in the sense of Le Cam's de®ciency distance for statistical experiments, when the discretization step decreases with the noise intensity . Mathematics Subject Classi®cation (1991): P...

متن کامل

Model Selection for Nonparametric Regression

Risk bounds are derived for regression estimation based on model selection over an unrestricted number of models. While a large list of models provides more flexibility, significant selection bias may occur with model selection criteria like AIC. We incorporate a model complexity penalty term in AIC to handle selection bias. Resulting estimators are shown to achieve a trade-off among approximat...

متن کامل

Asymptotic Equivalence of Nonparametric Autoregression and Nonparametric Regression

where (εi)i=1,...,n are i.i.d. random variables. The unknown autoregression function f is then the target of statistical inference and the development of efficient estimators is a natural task for theoretically oriented statisticians. On the one hand, it has been recognized for a long time that commonly used estimators in model (1) have the same asymptotic behavior as corresponding estimators i...

متن کامل

Regression-type Inference in Nonparametric Autoregression

1 1 1. Introduction Autoregressive models form an important class of processes in time series analysis. A nonparametric version of these models was introduced by Jones (1978). To allow for heteroscedastic modelling of the innovations, people often consider the model where the " t are assumed to be i.i.d. with mean 0 and variance 1. Several authors dealt with the interesting statistical problem ...

متن کامل

ذخیره 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: Sequential Analysis

سال: 2019

ISSN: 0747-4946,1532-4176

DOI: 10.1080/07474946.2019.1686883