Partial autocorrelation parameterization for subset autoregression

DOI10.1111/J.1467-9892.2006.00481.XzbMATH Open1111.62080arXiv1611.01370OpenAlexW2054799291MaRDI QIDQ3440751FDOQ3440751

Authors: A. Ian McLeod, Y. Zhang 

Publication date: 29 May 2007

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

Abstract: A new version of the partial autocorrelation plot and a new family of subset autoregressive models are introduced. A comprehensive approach to model identification, estimation and diagnostic checking is developed for these models. These models are better suited to efficient model building of high-order autoregressions with long time series. Several illustrative examples are given.

Full work available at URL: https://arxiv.org/abs/1611.01370

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zbMATH Keywords

maximum likelihood estimationAkaike information criterionDurbin-Levinson recursionbest predictors selection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cited In (16)

• Finite-sample properties of estimators for first and second order autoregressive processes
• Model selection for time series with nonlinear trend
• Estimating the differencing parameter via the partial autocorrelation function
• ON THE SELECTION OF SUBSET AUTOREGRESSIVE TIME SERIES MODELS
• Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors
• Modelling and Prediction of Financial Time Series
• A note on parameter reduction in the \(\mathrm{AR}(p)\) process
• Title not available (Why is that?)
• Practical small sample inference for single lag subset autoregressive models
• The restricted likelihood ratio test for autoregressive processes
• Generalized information criterion for the AR model
• Szegő's theorem and its probabilistic descendants
• Modelling and parameter estimation for discretely observed fractional iterated Ornstein-Uhlenbeck processes
• Oracle model selection for correlated data via residuals
• Title not available (Why is that?)
• Estimation of stationary autoregressive models with the Bayesian LASSO

Uses Software

• sapa

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