On the sequential space lattice fitting of two-dimensional subset autoregressions
Date
2011
Authors
O'Neill, Terence
Penm, Jonathan
Terrell, Richard
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Publisher
Hikari Ltd
Abstract
The space lattice recursive fitting algorithm to select the optimum two-dimensional (2-D) full-order autoregressive models (AR) is generalised to apply to 2-D subset ARs, including full-order models. It is initiated by fitting all 'forward' and 'backward' one-lag 2-D ARs. The method thus allows us to develop successively all 2-D subset ARs of size κ (the number of lags with nonzero coefficient matrices) from 1 to K. Finally, the best subsets of each size with the minimum generalised residual power for that size are compared to a modified 2-D model selection criterion to find the optimum 2-D subset AR.
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Keywords
Keywords: Forward and backward modelling; Recursive fitting; Statistical modelling; Two-dimensional subset autoregressive identification
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Source
Applied Mathematical Sciences
Type
Journal article
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2037-12-31