Estimating the Order of Autoregressive Models: The Max χ 2 Method

DOI10.2307/2286532MaRDI QIDQ4178362zbMATH OpenOpenAlexFDO

Authors James T. McClave

Publication date 1978

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2286532

zbMATH Keywords

Autoregressive ModelsLarge SamplesModerate SamplesOrder EstimationSubset AutoregressionTime Series Modelling

Mathematics Subject Classification ID

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

Cited in

(4)

• Selecting sub-set autoregressions from outlier contaminated data.
• An approach to direct selection of best subset ar model
• On a method of identification of best subset model from full ar-model
• ON THE CHOICE OF THE ORDER OF AUTOREGRESSIVE MODELS: A RANKING AND SELECTION APPROACH

This page was built for publication: Estimating the Order of Autoregressive Models: The Max χ 2 Method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4178362)