Determining a portfolio of linear time series models

D. S. Poskitt, A. R. Tremayne

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24 Citations (Scopus)


The paper applies selection criteria to order determination in linear time series models in a less mechanical fashion than is often found. This is achieved via posterior odds ratios and by applying concepts of grades of evidence advanced by Jeffreys (1961). It is shown how alternative specifications may be compared and this leads to the development of a practical method for determining a portfolio of different models, each of which may be regarded as reasonable for the data and which could be useful in subsequent tasks such as forecasting. To complement the theory, some simulation experiments are reported which illustrate the practical efficacy of the procedure. / 1987 Biometrika Trust.

Original languageEnglish
Pages (from-to)125-137
Number of pages13
Issue number1
Publication statusPublished - 1 Mar 1987
Externally publishedYes


  • Autoregressive-moving average
  • Evidential strength
  • Order determination
  • Portfolio of models
  • Posterior odds
  • Selection criterion

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