Partial autocorrelation parameterization for subset autoregression

DOI10.1111/J.1467-9892.2006.00481.XMaRDI QIDQ3440751zbMATH OpenOpenAlexFDO

Authors 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 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)

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.

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Cited in

(16)

• A note on parameter reduction in the \(\mathrm{AR}(p)\) process
• Estimating the differencing parameter via the partial autocorrelation function
• Szegő's theorem and its probabilistic descendants
• Finite-sample properties of estimators for first and second order autoregressive processes
• scientific article; zbMATH DE number 3945193 (Why is no real title available?)
• 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
• Practical small sample inference for single lag subset autoregressive models
• The restricted likelihood ratio test for autoregressive processes
• scientific article; zbMATH DE number 2148870 (Why is no real title available?)
• Modelling and parameter estimation for discretely observed fractional iterated Ornstein-Uhlenbeck processes
• Oracle model selection for correlated data via residuals
• Generalized information criterion for the AR model
• Model selection for time series with nonlinear trend
• Estimation of stationary autoregressive models with the Bayesian LASSO

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• sapa

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