Model selection for multiperiod forecasts

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題名:	Model selection for multiperiod forecasts
作者:	Liu,SI
貢獻者:	統計研究所
日期:	1996
上傳時間:	2010-06-29 19:33:53 (UTC+8)
出版者:	中央大學
摘要:	Model selection for time series data based upon joint multiperiod forecasts is investigated. Some popular selection criteria are applied to a suitable multivariate regression model to create new selection criteria. Monte Carlo experiments show that the proposed selection procedure performs more efficiently than the corresponding regular procedure, particularly when the data are generated from a high order autoregressive model. Analysis of some real data supports the applicability of the proposed procedure, especially when the degree of differencing required is uncertain.
關聯:	BIOMETRIKA
顯示於類別:	[統計研究所] 期刊論文

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