Partial autocorrelation parameterization for subset autoregression
classification
🧮 math.ST
stat.TH
keywords
modelsautocorrelationmodelpartialsubsetapproachautoregressionautoregressions
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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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