Selection of Linear Time Series Model on the Basis of Out-of-Sample Prediction Criteria
Akpensuen Shiaondo Henry, Kazeem Eyitayo Lasisi, Emmanuel Alphonsus Akpan & Edeghagba Eghosa Elijah · Asian Journal of Probability and Statistics · 2019
Background: In linear time series, the in-sample model selection and the out-of-sample model selection are the two common approaches to model selection. However, empirical evidence based on out-of-sample forecast performance is generally considered more trustworthy than evidence...
Open access
Research Article
10.9734/ajpas/2019/v4i330118