Estimating the Order of Autoregressive Models: The Max χ 2 Method

DOI10.2307/2286532zbMath0395.62065OpenAlexW4233879792MaRDI QIDQ4178362

James T. McClave

Publication date: 1978

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2286532

zbMATH Keywords

Autoregressive ModelsLarge SamplesModerate SamplesOrder EstimationSubset AutoregressionTime Series Modelling

Mathematics Subject Classification ID

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

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An approach to direct selection of best subset ar model ⋮ On a method of identification of best subset model from full ar-model ⋮ ON THE CHOICE OF THE ORDER OF AUTOREGRESSIVE MODELS: A RANKING AND SELECTION APPROACH ⋮ Selecting sub-set autoregressions from outlier contaminated data.

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