Identification of multivariate AR-models by threshold accepting

DOI10.1016/0167-9473(94)00041-GzbMath0875.62411OpenAlexW1982053164WikidataQ127884025 ScholiaQ127884025MaRDI QIDQ672526

Peter Winker

Publication date: 28 February 1997

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-9473(94)00041-g

zbMATH Keywords

HeuristicsOptimizationIdentificationAR-modelThreshold Accepting

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Autoregressive model fitting for control
• Subset Autoregression
• Selection of the order of an autoregressive model by Akaike's information criterion
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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