A Technical Note on the Fitting of a Multichannel Subset Fir System within a Potentially Nonstationary Environment, Using the Prewindowed Case - Financial and Economic Forecasting (Chapter 9)

20 Pages Posted: 7 Jan 2003

See all articles by Jack H.W. Penm

Jack H.W. Penm

Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce

Jammie H. Penm

Independent

R. Deane Terrell

Australian National University (ANU) - National Graduate School of Management

Date Written: October 2002

Abstract

The development of a recursive forward and backward time-update algorithm, together with a recursive order-update algorithm, for fitting multichannel subset FIR systems within a potentially nonstationary environment, this method is shown to be efficient and provides linkages between subset AR models and subset FIR systems at consecutive time instants.

Keywords: Multichannel Subset FIR System, Potentially Nonstationary Environment, Prewindowed Case

JEL Classification: C22, C53, E31

Suggested Citation

Penm, Jack and Penm, Jammie H. and Terrell, R. Deane, A Technical Note on the Fitting of a Multichannel Subset Fir System within a Potentially Nonstationary Environment, Using the Prewindowed Case - Financial and Economic Forecasting (Chapter 9) (October 2002). Available at SSRN: https://ssrn.com/abstract=360000 or http://dx.doi.org/10.2139/ssrn.360000

Jack Penm (Contact Author)

Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce ( email )

Canberra, Australian Capital Territory 0200
Australia
+61 (02) 61250535 (Phone)
+61 (02) 61250087 (Fax)

Jammie H. Penm

Independent ( email )

61 (02) 62880126 (Phone)
61 (02) 61250087 (Fax)

R. Deane Terrell

Australian National University (ANU) - National Graduate School of Management ( email )

Sir Roland Wilson Building (120)
Canberra, Australian Capital Territory 0200
Australia

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