ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS

DOI10.1111/J.1467-9892.1982.TB00329.XzbMATH Open0514.62098OpenAlexW2002144507MaRDI QIDQ3660740FDOQ3660740

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

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

Cited In (11)

• Econometric tests of rationality and market efficiency
• Selecting sub-set autoregressions from outlier contaminated data.
• Generalized Levinson--Durbin and Burg algorithms.
• Asymptotic properties of some subset vector autoregressive process estimators
• 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
• Title not available (Why is that?)

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