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

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.