Partial autocorrelation parameterization for subset autoregression

A. Ian McLeod; Ying Zhang

doi:10.1111/j.1467-9892.2006.00481.x

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arXiv · 1611.01370

Partial autocorrelation parameterization for subset autoregression

A. Ian McLeod·Ying Zhang

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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.

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A. Ian McLeod, Ying Zhang. 2016-11-04. Partial autocorrelation parameterization for subset autoregression. https://doi.org/10.1111/j.1467-9892.2006.00481.x

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