On model selection from a finite family of possibly misspecified time series models

@article{Hsu2019OnMS,
  title={On model selection from a finite family of possibly misspecified time series models},
  author={Hsiang-Ling Hsu and Ching-Kang Ing and Howell Tong},
  journal={The Annals of Statistics},
  year={2019}
}
Consider finite parametric time series models. “I have n observations and k models, which model should I choose on the basis of the data alone” is a frequently asked question in many practical situations. This poses the key problem of selecting a model from a collection of candidate models, none of which is necessarily the true data generating process (DGP). Although existing literature on model selection is vast, there is a serious lacuna in that the above problem does not seem to have… 

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