Partial autocorrelation parameterization for subset autoregression

DOI10.1111/j.1467-9892.2006.00481.xzbMath1111.62080arXiv1611.01370MaRDI QIDQ3440751

A. Ian McLeod, Y. Zhang

Publication date: 29 May 2007

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

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

zbMATH Keywords

maximum likelihood estimation; Akaike information criterion; Durbin-Levinson recursion; best predictors selection

Mathematics Subject Classification ID

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

62E20: Asymptotic distribution theory in statistics

Uses Software

• sapa

Cites Work

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