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math.ST2007★ 3 cited
Forecasting unstable processes
Jin-Lung Lin, Ching-Zong Wei
Previous analysis on forecasting theory either assume knowing the true parameters or assume the stationarity of the series. Not much are known on the forecasting theory for nonstat…
math.ST2006★ 106 cited
Order selection for same-realization predictions in autoregressive processes
Ching-Kang Ing, Ching-Zong Wei
Assume that observations are generated from an infinite-order autoregressive [AR()] process. Shibata [Ann. Statist. 8 (1980) 147--164] considered the problem of choosing a…