On model selection from a finite family of possibly misspecified time series models

Ching-Kang Ing National Tsing Hua University HOWELL TONG University of Electronic Science & Technology HSIANG-LING HSU National University of Kaohsiung

Statistics Theory and Methods mathscidoc:2103.33002

Annals of Statistics, 47, 2019.4
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AIC, BIC, misspecification-resistant information criterion, multistep prediction error, high-dimensional misspecified models, orthogonal greedy algorithm.
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@inproceedings{ching-kang2019on,
  title={ON MODEL SELECTION FROM A FINITE FAMILY OF POSSIBLY MISSPECIFIED TIME SERIES MODELS},
  author={Ching-Kang Ing, HOWELL TONG, and HSIANG-LING HSU},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20210304233724670898738},
  booktitle={Annals of Statistics},
  volume={47},
  year={2019},
}
Ching-Kang Ing, HOWELL TONG, and HSIANG-LING HSU. ON MODEL SELECTION FROM A FINITE FAMILY OF POSSIBLY MISSPECIFIED TIME SERIES MODELS. 2019. Vol. 47. In Annals of Statistics. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20210304233724670898738.
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