Partial autocorrelation parameterization for subset autoregression
نویسندگان
چکیده
منابع مشابه
Partial Autocorrelation Parameterization for Subset Autoregression
A new version of the partial autocorrelation plot and a new family of subset autoregressive models are introduced. A comprehensive approach to model identification, estimation and diagnostic checking is developed for these models. These models are better suited to efficient model building of high-order autoregressions with long time series. Several illustrative examples are given.
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2006
ISSN: 0143-9782,1467-9892
DOI: 10.1111/j.1467-9892.2006.00481.x