On identification of transfer function models by biased regression methods

DOI10.1080/00949658908811139zbMath0726.62154OpenAlexW1984085193MaRDI QIDQ3350585

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 seriessignal-to-noise ratiomulticollinearityOLSidentification proceduretransfer function modelsridge estimatorsbiased regression approachestimation of the Box-Jenkins transfer function weightsprincipal components estimators

Mathematics Subject Classification ID

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

Related Items (1)

Time series analysis of covariance based on linear transfer function models

Cites Work

• Unnamed Item
• A Note on the Generation of Random Normal Deviates
• Ridge regression:some simulations
• Intervention Analysis with Applications to Economic and Environmental Problems
• A simulation study of ridge and other regression estimators
• A Class of Biased Estimators in Linear Regression
• Identification of Dynamic Regression (Distributed Lag) Models Connecting Two Time Series
• Rational Distributed Lag Functions
• The optimal set of principal component restrictions on a least-squares regression

This page was built for publication: On identification of transfer function models by biased regression methods