A0363
Title: Negative moment bounds for autocovariance matrices of stationary processes driven by conditional heteroscedastic errors
Authors: Hsueh-Han Huang - Academia Sinica (Taiwan) [presenting]
Shu-Hui Yu - Institute of Statistics (Taiwan)
Ching-Kang Ing - National Tsing Hua University (Taiwan)
Abstract: A negative moment bound is established for the sample autocovariance matrix of a stationary process driven by conditional heteroscedastic errors. This moment bound enables us to asymptotically express the mean squared prediction error (MSPE) of the least squares predictor as the sum of three terms related to model complexity, model misspecification, and conditional heteroscedasticity. A direct application of this expression is the development of a model selection criterion that can asymptotically identify the best (in the sense of MSPE) subset AR model in the presence of misspecification and conditional heteroscedasticity. Finally, numerical simulations are conducted to confirm our theoretical results.
