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Single-Index Additive Vector Autoregressive Time Series Models

✍ Scribed by YEHUA LI; MARC G. GENTON


Book ID
111008933
Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
590 KB
Volume
36
Category
Article
ISSN
0303-6898

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Subset selection of autoregressive time
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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