Subset Autoregression

DOI10.2307/1268353zbMATH Open0312.62065OpenAlexW4249136346MaRDI QIDQ4070171FDOQ4070171

Authors James T. McClave

Publication date 1975

Published in Technometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1268353

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical decision theory (62C99)

Cited in

(14)

• ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION
• Selecting sub-set autoregressions from outlier contaminated data.
• Model identification of ARIMA family using genetic algorithms
• Periodic autoregressive model identification using genetic algorithms
• Partial autocorrelation parameterization for subset autoregression
• ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS
• Identification of multivariate AR-models by threshold accepting
• ON THE SELECTION OF SUBSET AUTOREGRESSIVE TIME SERIES MODELS
• Simultaneous confidence bands for sequential autoregressive fitting
• Predicting hospital census using time series regression methods
• Selecting optimal multistep predictors for autoregressive processes of unknown order.
• ON THE CHOICE OF THE ORDER OF AUTOREGRESSIVE MODELS: A RANKING AND SELECTION APPROACH
• Generalized information criterion for the AR model
• Simultaneous confidence bands for Yule-Walker estimators and order selection

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