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

DOI10.1142/S0219024904002803MaRDI QIDQ4658674zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

forgetting factorMonte Carlo IntegrationrecursionsSubset VAR

Mathematics Subject Classification ID

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

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• Selecting the forgetting factor in subset autoregressive modelling
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Cites work

• A robust algorithm in sequentially selecting subset time series system using neural networks
• Error Bands for Impulse Responses
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• Recursive estimation of linear systems
• Understanding Exponential Smoothing Via Kernel Regression

Cited in

(2)

• An evolutionary recursive algorithm in selecting statistical subset neural network/VDL filtering
• Selecting the forgetting factor in subset autoregressive modelling

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