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A conditional density approach to the order determination of time series

Yao, Qiwei ORCID: 0000-0003-2065-8486, Finkenstädt, Bärbel F. and Tong, Howell (2001) A conditional density approach to the order determination of time series. Statistics and Computing, 11 (3). pp. 229-240. ISSN 0960-3174

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Identification Number: 10.1023/A:1016600304293


The study focuses on the selection of the order of a general time series process via the conditional density of the latter, a characteristic of which is that it remains constant for every order beyond the true one. Using simulated time series from various nonlinear models we illustrate how this feature can be traced from conditional density estimation. We study whether two statistics derived from the likelihood function can serve as univariate statistics to determine the order of the process. It is found that a weighted version of the log likelihood function has desirable robust properties in detecting the order of the process.

Item Type: Article
Official URL:
Additional Information: ® 2001 Springer
Divisions: Economics
Subjects: H Social Sciences > HA Statistics
Date Deposited: 30 Jun 2008 09:06
Last Modified: 03 Jan 2024 18:12

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