Predictive Density Order Selection of Periodic AR Models

DOI10.1080/03610910701877579zbMATH Open1145.62067OpenAlexW2003767783MaRDI QIDQ3527751FDOQ3527751

Mohamed Bentarzi, Roukia Hemis, Hafida Guerbyenne

Publication date: 30 September 2008

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910701877579

zbMATH Keywords

Bayesian approachperiodic autoregressive modelnon-informative prior densitiespredictive density criterion

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Title not available (Why is that?)
• Estimating the dimension of a model
• A new look at the statistical model identification
• Title not available (Why is that?)
• Selection of the order of an autoregressive model by Akaike's information criterion
• Modeling by shortest data description
• On periodic and multiple autoregressions
• Title not available (Why is that?)
• On determination of the order of an autoregressive model
• Testing for periodic autocorrelations in seasonal time series data
• The implications of periodically varying coefficients for seasonal time- series processes
• ASYMPTOTIC RESULTS FOR PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS
• Model-building problem of periodically correlated \(m\)-variate moving average processes
• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• FORECASTING OF MULTIVARIATE PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Calculation of the Fisher Information Matrix for Periodic ARMA Models

Cited In (2)

• On Markov-switching periodicARMAmodels
• Predictive density criterion for SETAR models

Uses Software

• partsm

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