On time series model selection involving many candidate ARMA models

Authors:
Guoqi Qian;Xindong Zhao
Affiliations:
Department of Mathematics and Statistics, The University of Melbourne, VIC 3010, Australia;Department of Mathematics and Statistical Science, La Trobe University, VIC 3086, Australia
Venue:
Computational Statistics & Data Analysis
Year:
2007

Citing 2
Cited 1

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Abstract

We study how to perform model selection for time series data where millions of candidate ARMA models may be eligible for selection. We propose a feasible computing method based on the Gibbs sampler. By this method model selection is performed through a random sample generation algorithm, and given a model of fixed dimension the parameter estimation is done through the maximum likelihood method. Our method takes into account several computing difficulties encountered in estimating ARMA models. The method is found to have probability of 1 in the limit in selecting the best candidate model under some regularity conditions. We then propose several empirical rules to implement our computing method for applications. Finally, a simulation study and an example on modelling China's Consumer Price Index (CPI) data are presented for purpose of illustration and verification.