Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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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 -