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Details for article 8 of 11 found articles
| Title: |
Multivariate subset autoregression |
| Author: |
Penm, J. H. W. Terrell, R. D. |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 13 (1984) nr. 4 pages 449-461 |
| Year: |
1984 |
| Contents: |
This paper uses a modified block Choleski decomposition method and tree pruning algorithms to attain the best multivariate subset autoregression for each size (number of non-zero coefficient matrices). Model selection criteria are then employed to select the optimum multivariate subset AR. A Monte Carlo study of these techniques has been investigated to assess their perform-ance, and comparisons of computational efficiency of the proposed procedures are also provided. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 8 of 11 found articles
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