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ACCUMULATED PREDICTION ERRORS, INFORMATION CRITERIA AND OPTIMAL FORECASTING FOR AUTOREGRESSIVE TIME SERIES
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Abstract
The predictive capability of a modification of Rissanen's accumulated prediction error (APE) criterion, APEδn​​,is investigated in infinite-order autoregressive (AR(∞)) models. Instead of accumulating squares of sequential prediction errors from the beginning, APEδn​​ is obtained by summing these squared errors from stage nδn​, where n is the sample size and $0Accumulated prediction errors, Asymptotic equivalence, Asymptotic efficiency, Information criterion, Order selection, Optimal forecasting