Subset selection of autoregressive time
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Cathy W. S. Chen
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Article
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1999
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John Wiley and Sons
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English
โ 155 KB
๐ 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