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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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:
Journal Article
Journal or Publication Title:
Journal of Time Series Analysis
Uncontrolled Keywords:
/dk/atira/pure/researchoutput/libraryofcongress/qa
Subjects:
ID Code:
59738
Deposited By:
Deposited On:
02 Nov 2012 15:53
Refereed?:
Yes
Published?:
Published
Last Modified:
01 Jan 2020 08:12