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Efficient and Consistent Data-Driven Model Selection for Time Series

Jean-Marc Bardet · Kamila Kare · William Kengne首次提交 2021-10-19 · 修订 2021-10-19 · v1arXiv预印本

时间序列中高效且一致的数据驱动模型选择AI 解读

This paper studies the model selection problem in a large class of causal time series models, which includes both the ARMA or AR( $\infty$ ) processes, as well as the GARCH or ARCH( $\infty$ ), APARCH, ARMA-GARCH and many others processes. We first study the asymptotic behavior of the ideal penalty that minimizes the risk induced by a quasi-likelihood estimation among a finite family of models containing the true model. Then, we provide general conditions on the penalty term for…This paper studies the model selection problem in a large class of causal time series models, which includes both the ARMA or AR($\infty$) processes, as well as the GARCH or ARCH($\infty$), APARCH, ARMA-GARCH and many others processes. We first study the asymptotic behavior of the ideal penalty that minimizes the risk induced by a quasi-likelihood estimation among a finite family of models containing the true model. Then, we provide general conditions on the penalty term for…

宏观 · 时间序列因果推断贝叶斯

关联记录被引 1 次 ↗OpenAlex · 核验 2026-09-30

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