Partial autocorrelation parameterization for subset autoregression
arXiv:1611.01370 · doi:10.1111/j.1467-9892.2006.00481.x
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.
28 pages, 3 figures, 3 tables