R package FitAR: Subset AR Model Fitting. Comprehensive model building function for identification, estimation and diagnostic checking for AR and subset AR models. Two types of subset AR models are supported. One family of subset AR models, denoted by ARp, is formed by taking subet of the original AR coefficients and in the other, denoted by ARz, subsets of the partial autocorrelations are used. The main advantage of the ARz model is its applicability to very large order models.
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References in zbMATH (referenced in 5 articles , 1 standard article )
Showing results 1 to 5 of 5.
- Withers, Christopher S.; Nadarajah, Saralees: The joint distribution of the maximum and minimum of an AR(1) process (2015)
- Jirak, Moritz: Simultaneous confidence bands for sequential autoregressive fitting (2014)
- Jirak, Moritz: Simultaneous confidence bands for Yule-Walker estimators and order selection (2012)
- Aragon, Yves: Time series with R. Methods and cases. (2011)
- A. Ian McLeod; Ying Zhang: Improved Subset Autoregression: With R Package (2008)