ON THE SELECTION OF SUBSET AUTOREGRESSIVE TIME SERIES MODELS

DOI10.1111/j.1467-9892.1984.tb00380.xzbMath0549.62061OpenAlexW2058049563MaRDI QIDQ3341715

V. Haggan, O. B. Oyetunji

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1984.tb00380.x

zbMATH Keywords

model selectionmaximum likelihoodresidual varianceorder determinationestimation of subset autoregressive time series models

Mathematics Subject Classification ID

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

Related Items (9)

Selecting optimal multistep predictors for autoregressive processes of unknown order. ⋮ SOME DOUBLY STOCHASTIC TIME SERIES MODELS ⋮ An approach to direct selection of best subset ar model ⋮ Towards long-term prediction ⋮ On a method of identification of best subset model from full ar-model ⋮ Embedding as a modeling problem ⋮ Selecting sub-set autoregressions from outlier contaminated data. ⋮ NEAREST‐NEIGHBOUR METHODS FOR TIME SERIES ANALYSIS ⋮ Partial autocorrelation parameterization for subset autoregression

Cites Work

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• Statistical predictor identification
• Subset Autoregression
• Some recent advances in time series modeling
• All Possible Regressions with Less Computation
• Mean Square Error of Prediction as a Criterion for Selecting Variables
• Some Comments on C P
• A Large-Sample Test for the Goodness of Fit of Autoregressive Schemes
• A new look at the statistical model identification

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