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Efficient order selection algorithms for integer valued ARMA processes

Enciso Mora, Victor and Neal, Peter and Subba Rao, Tata (2009) Efficient order selection algorithms for integer valued ARMA processes. Journal of Time Series Analysis, 30 (1). pp. 1-18. ISSN 0143-9782

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We consider the problem of model (order) selection for integer-valued autoregressive moving-average (INARMA) processes. A very efficient reversible jump Markov chain Monte Carlo (RJMCMC) algorithm is constructed for moving between INARMA processes of different orders. An alternative in the form of the EM algorithm is given for determining the order of an integer-valued autoregressive (INAR) process. Both algorithms are successfully applied to both simulated and real data sets.

Item Type: Article
Journal or Publication Title: Journal of Time Series Analysis
Uncontrolled Keywords: Integer-valued time-series ; reversible jump MCMC ; EM algorithm ; count data
Subjects: Q Science > QA Mathematics
Departments: Faculty of Science and Technology > Mathematics and Statistics
ID Code: 59738
Deposited By: ep_importer_pure
Deposited On: 02 Nov 2012 15:53
Refereed?: Yes
Published?: Published
Last Modified: 19 Feb 2015 08:03
Identification Number:

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