On identification of transfer function models by biased regression methods

DOI10.1080/00949658908811139MaRDI QIDQ3350585zbMATH OpenOpenAlexFDO

Authors Per-Olov Edlund

Publication date 1989

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949658908811139

zbMATH Keywords

Monte Carlotime seriesmulticollinearitysignal-to-noise ratioOLSidentification proceduretransfer function modelsridge estimatorsbiased regression approachestimation of the Box-Jenkins transfer function weightsprincipal components estimators

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• A Class of Biased Estimators in Linear Regression
• A Note on the Generation of Random Normal Deviates
• A simulation study of ridge and other regression estimators
• Identification of Dynamic Regression (Distributed Lag) Models Connecting Two Time Series
• Intervention Analysis with Applications to Economic and Environmental Problems
• Rational Distributed Lag Functions
• Ridge regression:some simulations
• The optimal set of principal component restrictions on a least-squares regression

Cited in

(4)

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