AR(ARMA)模型选择Improved Subset Autoregression

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This package[FitAR] provides a comprehensive approach to fitting autoregressive and subset autoregressive time series. For long time series with complicated autocorrelation behavior, such as the monthly sunspot numbers, subset autoregression may prove more feasible and/or parsimonious than using AR or ARMA models.

314663.pdf (566.94 KB)

2009-4-13 09:58:00 上传

AR(ARMA)模型选择Improved Subset Autoregression

314664.zip (1.67 KB) 本附件包括：

• v28i02-figures.R

2009-4-13 09:58:00 上传

AR(ARMA)模型选择Improved Subset Autoregression

314665.zip (1.88 KB) 本附件包括：

• v28i02-tables.R

2009-4-13 09:58:00 上传

AR(ARMA)模型选择Improved Subset Autoregression

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关键词：regression regressio Improved autoreg regress 模型 选择 ARMA Subset Improved

有关VAR的模型选择则可以见

http://www.amazon.com/Reduction-Autoregressive-Processes-Economics-Mathematical/dp/3540206434

Model Reduction Methods for Vector Autoregressive Processes

 (Lecture Notes in Economics and Mathematical Systems)

by Ralf Brüggemann (Author) Key Phrases: single equation strategies, impulse response accuracy, contemporaneous impact matrix, Monte Carlo,

[此贴子已经被作者于2009-4-13 10:01:53编辑过]

谢谢！！