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Paper detail

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.

preprint2016arXivOpen access
A. Ian McLeodYing Zhang
math.STStatistics Theory
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A. Ian McLeodYing Zhang

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