Cross validation for uncertain autoregressive model

• 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

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...