IDEAS home Printed from https://ideas.repec.org/a/taf/lstaxx/v48y2019i2p332-353.html
   My bibliography  Save this article

Non-nested model selection based on the quantiles and it’s application in time series

Author

Listed:
  • S. Zamani Mehreyan
  • A. Sayyareh
  • D. Thomakos

Abstract

We consider the problem of model selection based on quantile analysis and with unknown parameters estimated using quantile leasts squares. We propose a model selection test for the null hypothesis that the competing models are equivalent against the alternative hypothesis that one model is closer to the true model. We follow with two applications of the proposed model selection test. The first application is in model selection for time series with non-normal innovations. The second application is in model selection in the NoVas method, short for normalizing and variance stabilizing transformation, forecast. A set of simulation results also lends strong support to the results presented in the paper.

Suggested Citation

  • S. Zamani Mehreyan & A. Sayyareh & D. Thomakos, 2019. "Non-nested model selection based on the quantiles and it’s application in time series," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 48(2), pages 332-353, January.
    • Handle: RePEc:taf:lstaxx:v:48:y:2019:i:2:p:332-353
    DOI: 10.1080/03610926.2017.1410714
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03610926.2017.1410714
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03610926.2017.1410714?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:lstaxx:v:48:y:2019:i:2:p:332-353. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/lsta .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.