ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS
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Publication:3660740
DOI10.1111/j.1467-9892.1982.tb00329.xzbMath0514.62098OpenAlexW2002144507MaRDI QIDQ3660740
Publication date: 1982
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1982.tb00329.x
algorithmMonte Carlo studyAkaike information criterionSchwarz criterionCanadian lynx databackward autoregressionscomputing best subset of nonzero autoregressive matricesforward autoregressionsHannan criterionmultivariate subset autoregressionrecursive fittingsubset vector autoregressions
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Unnamed Item ⋮ Asymptotic properties of some subset vector autoregressive process estimators ⋮ A novel method for the identification of synchronization effects in multichannel ECoG with an application to epilepsy ⋮ Generalized Levinson--Durbin and Burg algorithms. ⋮ An approach to direct selection of best subset ar model ⋮ On a method of identification of best subset model from full ar-model ⋮ Selecting sub-set autoregressions from outlier contaminated data. ⋮ Econometric tests of rationality and market efficiency ⋮ A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals ⋮ Subset selection for vector autoregressive processes using Lasso ⋮ Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
Cites Work
- Estimating the dimension of a linear system
- Estimating the dimension of a model
- Fitting autoregressive models for prediction
- Subset Autoregression
- On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
- Computational Efficiency in the Selection of Regression Variables
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