On model selection from a finite family of possibly misspecified time series models
从有限个可能误设的时间序列模型中进行模型选择
Consider finite parametric time series models. “I have $n$ observations and $k$ models, which model should I choose on the basis of the data alone” is a frequently asked question in many practical situations. This poses the key problem of selecting a model from a collection of candidate models, none of which is necessarily the true data generating process (DGP). Although existing literature on model selection is vast, there is a serious lacuna in that the above problem does…