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  • Search: subject:"Lag order selection"
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Subject
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Adaptive jump selection 1 Impulse response analysis 1 Lag order selection 1 Spectral density 1 VAR models 1 autoregressive 1 covariance matrix 1 lag-order selection 1 statistical inference 1
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Undetermined 2
Type of publication
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Article 2
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Undetermined 2
Author
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Morales, Marco 1 Ren, Yunwen 1 Xiao, Zhiguo 1 Zhang, Xinsheng 1
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Journal of Applied Statistics 1 Journal of Multivariate Analysis 1
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RePEc 2
Showing 1 - 2 of 2
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Two-step adaptive model selection for vector autoregressive processes
Ren, Yunwen; Xiao, Zhiguo; Zhang, Xinsheng - In: Journal of Multivariate Analysis 116 (2013) C, pp. 349-364
Model selection (lag order selection and coefficient matrices substructures determination) is an integral part of …
Persistent link: https://www.econbiz.de/10010665719
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Lag order selection for an optimal autoregressive covariance matrix estimator
Morales, Marco - In: Journal of Applied Statistics 37 (2010) 5, pp. 739-748
A good parametric spectral estimator requires an accurate estimate of the sum of AR coefficients, however a criterion which minimizes the innovation variance not necessarily yields the best spectral estimate. This paper develops an alternative information criterion considering the bias in the...
Persistent link: https://www.econbiz.de/10008674913
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