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- Publisher
- Wiley
- Copyright
- Copyright © 1984 Wiley Subscription Services, Inc., A Wiley Company
- ISSN
- 0143-9782
- eISSN
- 1467-9892
- DOI
- 10.1111/j.1467-9892.1984.tb00380.x
- Publisher site
- See Article on Publisher Site
Abstract
Abstract. The estimation of subset autoregressive time series models has been a difficult problem because of the large number of possible alternative models involved. However, with the advent of model selection criteria based on the maximum likelihood, subset model fitting has become feasible. Using an efficient technique for evaluating the residual variance of all possible subset models, a method is proposed for the fitting of subset autoregressive models. The application of the method is illustrated by means of real and simulated data.
Journal
Journal of Time Series Analysis – Wiley
Published: Mar 1, 1984