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Automatic identification of time-series models from long autoregressive models

โœ Scribed by Broersen, P.M.T.; de Waele, S.


Book ID
114629961
Publisher
IEEE
Year
2005
Tongue
English
Weight
274 KB
Volume
54
Category
Article
ISSN
0018-9456

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โœ Cathy W. S. Chen ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 155 KB ๐Ÿ‘ 2 views

We propose a solution to select promising subsets of autoregressive time series models for further consideration which follows up on the idea of the stochastic search variable selection procedure in . It is based on a Bayesian approach which is unconditional on the initial terms. The autoregression