Selecting the forgetting factor in subset autoregressive modelling

DOI10.1111/1467-9892.00283zbMath1115.62083OpenAlexW3124797061MaRDI QIDQ3440770

Timothy J. Brailsford, R. D. Terrell, J. H. W. Penm

Publication date: 29 May 2007

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00283

zbMATH Keywords

forecastingautoregressive modelexchange rateforgetting factortime-recursive maximum likelihood estimate

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Weighted moving averages: an efficient plan for monitoring specific location shifts

Cites Work

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• Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
• ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS
• Tracking improvements in fast RLS algorithms using a variable forgetting factor

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