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2006.415: Efficient order selection algorithms for integer valued ARMA processes

2006.415: Victor Enciso-Mora, Peter Neal and Tata Subba Rao (2006) Efficient order selection algorithms for integer valued ARMA processes.

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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 order. 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.

Item Type:MIMS Preprint
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Submitted to Journal of Time Series Analysis

Uncontrolled Keywords:Integer valued time-series, Reversible jump MCMC, EM algorithm, count data
Subjects:MSC 2000 > 62 Statistics
MIMS number:2006.415
Deposited By:Dr Peter Neal
Deposited On:12 December 2006

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