Volume no :7, Issue no: 1, January (2011)

Journal of Mathematical Sciences: Advances and Applications

ON THE RECURSIONS OF TWO-DIMENSIONAL SUBSET AUTOREGRESSIONS

Author's: T. J. O’neill, Jack Penm and R. D. Terrell
Pages: [11] - [25]
Received Date: November 24, 2010
Submitted by:

Abstract

An innovative set of recursive algorithms for two-dimensional (2D) subset autoregressive (AR) models, including full order 2D ARs, is explored and developed by progressing further from the 2D full order AR recursions. After the initialisation is carried out by the direct method, the proposed recursions then allow us to develop successively all 2D subset ARs, of size (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 by employing a model selection criterion to find the optimum 2D subset AR.

Keywords

recursions, subset autoregressions, two-dimensional recursive algorithms.