Selection of ARX models estimated by the penalized weighted least squares method

MaRDI QIDQ3171318zbMATHFDO

Authors Pan Qin, Ryuei Nishii

Publication date 5 October 2011

zbMATH Keywords

BICAICGICsystem identificationMLEModel selectionexogeneous variablesauto-regressive time-series models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20)

Recommendations

• ARX models for time-varying systems estimated by recursive penalized weighted least squares method
• Penalized regression models with autoregressive error terms
• ON THE SELECTION OF SUBSET AUTOREGRESSIVE TIME SERIES MODELS
• Generalized information criterion for the AR model
• Weighted least squares based recursive parametric identification for the submodels of a PWARX system

Cited in

(1)

• ARX models for time-varying systems estimated by recursive penalized weighted least squares method

This page was built for publication: Selection of ARX models estimated by the penalized weighted least squares method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3171318)