ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS (Q3660740)
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scientific article; zbMATH DE number 3812786
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| English | ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS |
scientific article; zbMATH DE number 3812786 |
Statements
ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS (English)
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1982
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recursive fitting
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subset vector autoregressions
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backward autoregressions
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forward autoregressions
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algorithm
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multivariate subset autoregression
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computing best subset of nonzero autoregressive matrices
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Akaike information criterion
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Schwarz criterion
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Hannan criterion
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Monte Carlo study
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Canadian lynx data
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