Asymptotic properties of some subset vector autoregressive process estimators
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- Jack H. W. Penm & R. D. Terrell, 1982. "On The Recursive Fitting Of Subset Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(1), pages 43-59, January.
- Trindade, A. Alexandre, 2003. "Implementing Modifed Burg Algorithms in Multivariate Subset Autoregressive Modeling," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 8(i05).
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Keywords
Subset modeling Least squares Yule-Walker Burg Martingale Asymptotic distribution Recursive algorithm;Statistics
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