ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS

DOI10.1111/J.1467-9892.1982.TB00329.XMaRDI QIDQ3660740zbMATH OpenOpenAlexFDO

Authors R. D. Terrell, Jack H. W. Penm

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

zbMATH Keywords

Schwarz criterionalgorithmMonte Carlo studyAkaike information criterionCanadian lynx databackward autoregressionscomputing best subset of nonzero autoregressive matricesforward autoregressionsHannan criterionmultivariate subset autoregressionrecursive fittingsubset vector autoregressions

Mathematics Subject Classification ID

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

Cites work

• Computational Efficiency in the Selection of Regression Variables
• Estimating the dimension of a linear system
• Estimating the dimension of a model
• Fitting autoregressive models for prediction
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Subset Autoregression

Cited in

(11)

• Econometric tests of rationality and market efficiency
• Generalized Levinson--Durbin and Burg algorithms.
• Selecting sub-set autoregressions from outlier contaminated data.
• Asymptotic properties of some subset vector autoregressive process estimators
• On multivariate time series model selection involving many candidate VAR models
• A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
• Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
• An approach to direct selection of best subset ar model
• A novel method for the identification of synchronization effects in multichannel ECoG with an application to epilepsy
• On a method of identification of best subset model from full ar-model
• Subset selection for vector autoregressive processes using Lasso

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