Predictive Density Order Selection of Periodic AR Models

DOI10.1080/03610910701877579MaRDI QIDQ3527751zbMATH OpenOpenAlexFDO

Authors Mohamed Bentarzi, Hafida Guerbyenne, Roukia Hemis

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)

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Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
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• scientific article; zbMATH DE number 976336 (Why is no real title available?)
• A new look at the statistical model identification
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• Calculation of the Fisher Information Matrix for Periodic ARMA Models
• Estimating the dimension of a model
• FORECASTING OF MULTIVARIATE PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Model-building problem of periodically correlated m-variate moving average processes
• Modeling by shortest data description
• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• On determination of the order of an autoregressive model
• On periodic and multiple autoregressions
• PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS
• RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Selection of the order of an autoregressive model by Akaike's information criterion
• Testing for periodic autocorrelations in seasonal time series data
• The implications of periodically varying coefficients for seasonal time- series processes

Cited in

(2)

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

Describes a project that uses

Uses Software

• partsm

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