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

DOI10.1080/03610929508831571zbMath0850.62657OpenAlexW2009712032MaRDI QIDQ4883465

No author found.

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

identificationtime seriessubset selectioninformation criterionmodal reduction

Mathematics Subject Classification ID

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

Related Items (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.

Cites Work

• Unnamed Item
• Unnamed Item
• Threshold models in non-linear time series analysis
• Estimating the dimension of a model
• Statistical predictor identification
• ON THE SELECTION OF SUBSET AUTOREGRESSIVE TIME SERIES MODELS
• ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS
• Regression and time series model selection in small samples
• Estimating the Order of Autoregressive Models: The Max χ 2 Method
• A new look at the statistical model identification

This page was built for publication: On a method of identification of best subset model from full ar-model