Efficient order selection algorithms for integer-valued ARMA processes

被引：20

作者：

Enciso-Mora, Victor ^{[1
]}

Neal, Peter ^{[1
]}

Rao, T. Subba ^{[1
]}

机构：

[1] Univ Manchester, Dept Math, Manchester M60 1QD, Lancs, England

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2009年 / 30卷 / 01期

关键词：

Integer-valued time-series; reversible jump MCMC; EM algorithm; count data; TIME-SERIES; COMPUTATION;

D O I：

10.1111/j.1467-9892.2008.00592.x

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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.

引用

页码：1 / 18

页数：18

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