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

共 50 条

[31] Space-time integer-valued ARMA modelling for time series of counts
Martins, Ana
Scotto, Manuel G.
Weiss, Christian H.
Gouveia, Sonia
ELECTRONIC JOURNAL OF STATISTICS, 2023, 17 (02): : 3472 - 3511
[32] Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes
Barndorff-Nielsen, Ole E.
Lunde, Asger
Shephard, Neil
Veraart, Almut E. D.
SCANDINAVIAN JOURNAL OF STATISTICS, 2014, 41 (03) : 693 - 724
[33] Forecasting with two generalized integer-valued autoregressive processes of order one in the mutual random environment
Popovic, Predrag M.
Laketa, Petra N.
Nastic, Aleksandar S.
SORT-STATISTICS AND OPERATIONS RESEARCH TRANSACTIONS, 2019, 43 (02) : 355 - 384
[34] Empirical Likelihood Inference for First-Order Random Coefficient Integer-Valued Autoregressive Processes
Zhao, Zhiwen
Yu, Wei
MATHEMATICAL PROBLEMS IN ENGINEERING, 2016, 2016
[35] Integer-valued Levy processes and low latency financial econometrics
Barndorff-Nielsen, Ole E.
Pollard, David G.
Shephard, Neil
QUANTITATIVE FINANCE, 2012, 12 (04) : 587 - 605
[36] A Goodness-of-Fit Test for Integer-Valued Autoregressive Processes
Schweer, Sebastian
JOURNAL OF TIME SERIES ANALYSIS, 2016, 37 (01) : 77 - 98
[37] Multivariate threshold integer-valued autoregressive processes with explanatory variables
Yang, Kai
Xu, Nuo
Li, Han
Zhao, Yiwei
Dong, Xiaogang
APPLIED MATHEMATICAL MODELLING, 2023, 124 : 142 - 166
[38] Integer-Valued Self-Exciting Threshold Autoregressive Processes
Monteiro, Magda
Scotto, Manuel G.
Pereira, Isabel
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2012, 41 (15) : 2717 - 2737
[39] Generalized Poisson integer-valued autoregressive processes with structural changes
Zhang, Chenhui
Wang, Dehui
Yang, Kai
Li, Han
Wang, Xiaohong
JOURNAL OF APPLIED STATISTICS, 2022, 49 (11) : 2717 - 2739
[40] TRIANGLES WITH INTEGER-VALUED SIDES
MARSDEN, MJ
AMERICAN MATHEMATICAL MONTHLY, 1974, 81 (04): : 373 - 376

← 1 2 3 4 5 →