On time series model selection involving many candidate ARMA models

DOI10.1016/J.CSDA.2006.12.044zbMath1445.62237OpenAlexW2168917063MaRDI QIDQ1020721

Guoqi Qian, Xindong Zhao

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.12.044

zbMATH Keywords

autoregressive-moving average (ARMA) modelsGibbs sampler and time series model selection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Unnamed Item ⋮ Multiple change-points detection by empirical Bayesian information criteria and Gibbs sampling induced stochastic search ⋮ Clustering longitudinal data for growth curve modelling by Gibbs sampler and information criterion

Uses Software

• R
• itsmr

Cites Work

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• Modeling by shortest data description
• The estimation of the order of an ARMA process
• Estimating the dimension of a model
• Discretization and MCMC. Convergence assessment
• Computations and analysis in robust regression model
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for a unit root in time series regression
• Regression and time series model selection in small samples
• Introduction to Time Series and Forecasting
• Classical Model Selection via Simulated Annealing
• Bayesian Graphical Models for Discrete Data
• A new look at the statistical model identification

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