Partial autocorrelation parameterization for subset autoregression
Statistics Theory
2016-11-07 v1 Statistics Theory
Abstract
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.
Cite
@article{arxiv.1611.01370,
title = {Partial autocorrelation parameterization for subset autoregression},
author = {A. Ian McLeod and Ying Zhang},
journal= {arXiv preprint arXiv:1611.01370},
year = {2016}
}
Comments
28 pages, 3 figures, 3 tables