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Efficient order selection algorithms for integer valued ARMA processes

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Efficient order selection algorithms for integer valued ARMA processes. / Enciso Mora, Victor; Neal, Peter; Subba Rao, Tata.

In: Journal of Time Series Analysis, Vol. 30, No. 1, 01.2009, p. 1-18.

Research output: Contribution to journalJournal articlepeer-review

Harvard

Enciso Mora, V, Neal, P & Subba Rao, T 2009, 'Efficient order selection algorithms for integer valued ARMA processes', Journal of Time Series Analysis, vol. 30, no. 1, pp. 1-18. https://doi.org/10.1111/j.1467-9892.2008.00592.x

APA

Enciso Mora, V., Neal, P., & Subba Rao, T. (2009). Efficient order selection algorithms for integer valued ARMA processes. Journal of Time Series Analysis, 30(1), 1-18. https://doi.org/10.1111/j.1467-9892.2008.00592.x

Vancouver

Enciso Mora V, Neal P, Subba Rao T. Efficient order selection algorithms for integer valued ARMA processes. Journal of Time Series Analysis. 2009 Jan;30(1):1-18. https://doi.org/10.1111/j.1467-9892.2008.00592.x

Author

Enciso Mora, Victor ; Neal, Peter ; Subba Rao, Tata. / Efficient order selection algorithms for integer valued ARMA processes. In: Journal of Time Series Analysis. 2009 ; Vol. 30, No. 1. pp. 1-18.

Bibtex

@article{2e4a3a155ab2457db0ce6a22ecb4e793,
title = "Efficient order selection algorithms for integer valued ARMA processes",
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.",
keywords = "Integer-valued time-series, reversible jump MCMC , EM algorithm , count data",
author = "{Enciso Mora}, Victor and Peter Neal and {Subba Rao}, Tata",
year = "2009",
month = jan,
doi = "10.1111/j.1467-9892.2008.00592.x",
language = "English",
volume = "30",
pages = "1--18",
journal = "Journal of Time Series Analysis",
issn = "0143-9782",
publisher = "Wiley-Blackwell",
number = "1",

}

RIS

TY - JOUR

T1 - Efficient order selection algorithms for integer valued ARMA processes

AU - Enciso Mora, Victor

AU - Neal, Peter

AU - Subba Rao, Tata

PY - 2009/1

Y1 - 2009/1

N2 - 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.

AB - 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.

KW - Integer-valued time-series

KW - reversible jump MCMC

KW - EM algorithm

KW - count data

U2 - 10.1111/j.1467-9892.2008.00592.x

DO - 10.1111/j.1467-9892.2008.00592.x

M3 - Journal article

VL - 30

SP - 1

EP - 18

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

SN - 0143-9782

IS - 1

ER -