PROJECTION MODULUS: A NEW DIRECTION FOR SELECTING SUBSET AUTOREGRESSIVE MODELS

DOI10.1111/1467-9892.00046zbMath0918.62069OpenAlexW1983326712MaRDI QIDQ4221799

Xichuan Zhang, R. Deane Terrell

Publication date: 7 July 1999

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00046

zbMATH Keywords

Hilbert spaceSchwarz information criterionprojection modulussubset autogressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of functional analysis in probability theory and statistics (46N30)

Related Items (2)

Selecting sub-set autoregressions from outlier contaminated data. ⋮ Partial autocorrelation parameterization for subset autoregression

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