THE SEQUENTIAL ESTIMATION OF SUBSET VAR WITH FORGETTING FACTOR AND INTERCEPT VARIABLE

DOI10.1142/S0219024904002803zbMATH Open1093.91536OpenAlexW1968050760MaRDI QIDQ4658674FDOQ4658674

Authors: Terence J. O'Neill, R. D. Terrell, Jack H. W. Penm 

Publication date: 18 March 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024904002803

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zbMATH Keywords

recursionsforgetting factorMonte Carlo IntegrationSubset VAR

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Title not available (Why is that?)
• Error Bands for Impulse Responses
• Recursive estimation of linear systems
• A robust algorithm in sequentially selecting subset time series system using neural networks
• Understanding Exponential Smoothing Via Kernel Regression

Cited In (1)

• An evolutionary recursive algorithm in selecting statistical subset neural network/VDL filtering

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