THE RECURSIVE FITTING OF SUBSET VARX MODELS

DOI10.1111/j.1467-9892.1993.tb00169.xzbMath0779.62079OpenAlexW2079076142MaRDI QIDQ4272778

Jammie H. Penm, R. D. Terrell, J. H. W. Penm

Publication date: 20 January 1994

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00169.x

zbMATH Keywords

simulationsorder selection criterionrecursive fittingVARX modelsvector autoregressive model with exogenous variablesvector time series model

Mathematics Subject Classification ID

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

Related Items (3)

On the asymptotic distribution of residual autocovariances in VARX models with applications ⋮ Selecting sub-set autoregressions from outlier contaminated data. ⋮ AN ANALYSIS OF ASIAN MARKET INTEGRATION PRE- AND POST-CRISIS

Cites Work

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• Dynamic feature space modelling, filtering and self-tuning control of stochastic systems. A systems approach with economic and social applications
• Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
• Estimating the dimension of a model
• Fast algorithm for identification of an ARX model and its order determination
• Measurement of Linear Dependence and Feedback Between Multiple Time Series
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix

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