Cross validation for uncertain autoregressive model

Uncertain time series models have been investigated to predict future values based on imprecise observations. The existing researches focus on how to estimate unknown parameters in the uncertain time series model without considering how to determine the lag order. This paper proposes three types of...

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Bibliographic Details

Published in:	Communications in statistics. Simulation and computation Vol. 51; no. 8; pp. 4715 - 4726
Main Authors:	Liu, Zhe, Yang, Xiangfeng
Format:	Journal Article
Language:	English
Published:	Philadelphia Taylor & Francis 03.08.2022 Taylor & Francis Ltd
Subjects:	Autoregressive models Average testing error Cross validation Imprecise observations Lag order Parameter uncertainty Time series Uncertain time series
ISSN:	0361-0918, 1532-4141
Online Access:	Get full text
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