Partial autocorrelation parameterization for subset autoregression

被引：16

作者：

McLeod, AI ^{[1
]}

Zhang, Y

机构：

[1] Univ Western Ontario, Dept Stat & Actuarial Sci, London, ON N6A 5B7, Canada

[2] Acadia Univ, Wolfville, NS B0P 1X0, Canada

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2006年 / 27卷 / 04期

关键词：

AR model identification and diagnostic checks; forecasting; long time series; monthly sunspot series; partial autocorrelation plot; seasonal or periodic time series;

D O I：

10.1111/j.1467-9892.2006.00481.x

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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.

引用

页码：599 / 612

页数：14

共 50 条

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