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- Title
Efficient order selection algorithms for integer-valued ARMA processes.
- Authors
Enciso-Mora, Víctor; Neal, Peter; Rao, T. Subba
- 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.
- Subjects
MARKOV processes; MONTE Carlo method; EXPECTATION-maximization algorithms; MATHEMATICAL models; BOX-Jenkins forecasting
- Publication
Journal of Time Series Analysis, 2009, Vol 30, Issue 1, p1
- ISSN
0143-9782
- Publication type
Article
- DOI
10.1111/j.1467-9892.2008.00592.x