An approach to direct selection of best subset ar model

DOI10.1080/00949659708811793zbMath0900.62478OpenAlexW2053840033MaRDI QIDQ4347022

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Publication date: 18 September 1997

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659708811793

zbMATH Keywords

singular value decompositionsubset selectionautoregressive modelsAICSICspurious regressor variables identification

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical ranking and selection procedures (62F07)

Related Items

Selecting sub-set autoregressions from outlier contaminated data.

Cites Work

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