Partial autocorrelation parameterization for subset autoregression

A. I. McLeod and Y. Zhang

Journal of Time Series Analysis, 2006, vol. 27, issue 4, 599-612

Abstract: 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.

Date: 2006
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https://doi.org/10.1111/j.1467-9892.2006.00481.x

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