PROJECTION MODULUS: A NEW DIRECTION FOR SELECTING SUBSET AUTOREGRESSIVE MODELS

DOI10.1111/1467-9892.00046MaRDI QIDQ4221799zbMATH OpenOpenAlexFDO

Authors Xichuan Zhang, R. Deane Terrell

Publication date 7 July 1999

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00046

zbMATH Keywords

Hilbert spaceprojection modulusSchwarz information criterionsubset autogressive model

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(4)

• ON THE SELECTION OF SUBSET AUTOREGRESSIVE TIME SERIES MODELS
• Partial autocorrelation parameterization for subset autoregression
• Projection estimators for autoregressive panel data models
• Selecting sub-set autoregressions from outlier contaminated data.

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