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
Abstract
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: | http://www.springerlink.com/content/100219/ |
| Additional Information: | ® 2001 Springer |
| Divisions: | Economics Statistics |
| Subjects: | H Social Sciences > HA Statistics |
| Date Deposited: | 30 Jun 2008 09:06 |
| Last Modified: | 01 Oct 2024 03:31 |
| URI: | http://eprints.lse.ac.uk/id/eprint/6105 |
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