Edeghagba Eghosa Elijah

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...