Partial autocorrelation parameterization for subset autoregression

DOI10.1111/j.1467-9892.2006.00481.xzbMath1111.62080arXiv1611.01370OpenAlexW2054799291MaRDI QIDQ3440751

A. Ian McLeod, Y. Zhang

Publication date: 29 May 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.01370

zbMATH Keywords

maximum likelihood estimationAkaike information criterionDurbin-Levinson recursionbest predictors selection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (9)

Oracle model selection for correlated data via residuals ⋮ The restricted likelihood ratio test for autoregressive processes ⋮ Finite-sample properties of estimators for first and second order autoregressive processes ⋮ Model selection for time series with nonlinear trend ⋮ Modelling and parameter estimation for discretely observed fractional iterated Ornstein-Uhlenbeck processes ⋮ Szegő's theorem and its probabilistic descendants ⋮ Estimation of stationary autoregressive models with the Bayesian LASSO ⋮ Generalized information criterion for the AR model ⋮ Modelling and Prediction of Financial Time Series

Uses Software

• sapa

Cites Work

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