Asymptotically efficient autoregressive model selection for multistep prediction
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Bibliographic InfoArticle provided by Springer in its journal Annals of the Institute of Statistical Mathematics.
Volume (Year): 48 (1996)
Issue (Month): 3 (September)
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Web page: http://www.springerlink.com/link.asp?id=102845
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- Gersch, Will & Kitagawa, Genshiro, 1983. "The Prediction of Time Series with Trends and Seasonalities," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(3), pages 253-64, July.
- Weiss, Andrew A., 1991. "Multi-step estimation and forecasting in dynamic models," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 135-149.
- Lewis, Richard & Reinsel, Gregory C., 1985. "Prediction of multivariate time series by autoregressive model fitting," Journal of Multivariate Analysis, Elsevier, vol. 16(3), pages 393-411, June.
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