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.
Full text not available from this repository.Official URL: http://dx.doi.org/10.1111/j.1467-9892.2008.00592.x
Abstract
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: | 02 Nov 2012 15:53 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/59738 |
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