THE SEQUENTIAL ESTIMATION OF SUBSET VAR WITH FORGETTING FACTOR AND INTERCEPT VARIABLE

DOI10.1142/S0219024904002803zbMath1093.91536OpenAlexW1968050760MaRDI QIDQ4658674

Terence J. O'Neill, R. D. Terrell, J. H. W. Penm

Publication date: 18 March 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024904002803

zbMATH Keywords

recursionsforgetting factorMonte Carlo IntegrationSubset VAR

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)

Cites Work

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• A Robust Algorithm in Sequentially Selecting Subset Time Series Systems Using Neural Networks
• Recursive estimation of linear systems
• Understanding Exponential Smoothing Via Kernel Regression
• Error Bands for Impulse Responses

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