On a method of identification of best subset model from full ar-model

DOI10.1080/03610929508831571MaRDI QIDQ4883465zbMATH OpenOpenAlexFDO

Authors

Publication date 2 July 1996

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929508831571

zbMATH Keywords

identificationinformation criterionmodal reductionsubset selectiontime series

Mathematics Subject Classification ID

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

Cites work

• A new look at the statistical model identification
• Estimating the dimension of a model
• Estimating the Order of Autoregressive Models: The Max χ 2 Method
• scientific article; zbMATH DE number 4213315 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS
• ON THE SELECTION OF SUBSET AUTOREGRESSIVE TIME SERIES MODELS
• Regression and time series model selection in small samples
• Statistical predictor identification
• Threshold models in non-linear time series analysis

Cited in

(4)

• An approach to direct selection of best subset ar model
• Generalized information criterion for the AR model
• Tuning parameter selection for the adaptive LASSO in the autoregressive model
• Selecting sub-set autoregressions from outlier contaminated data.

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