Determining a portfolio of linear time series models

D. S. Poskitt, A. R. Tremayne

Research output: Contribution to journalArticleResearchpeer-review

24 Citations (Scopus)

Abstract

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
JournalBiometrika
Volume74
Issue number1
DOIs
Publication statusPublished - 1 Mar 1987
Externally publishedYes

Keywords

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

Cite this

Poskitt, D. S. ; Tremayne, A. R. / Determining a portfolio of linear time series models. In: Biometrika. 1987 ; Vol. 74, No. 1. pp. 125-137.
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Determining a portfolio of linear time series models. / Poskitt, D. S.; Tremayne, A. R.

In: Biometrika, Vol. 74, No. 1, 01.03.1987, p. 125-137.

Research output: Contribution to journalArticleResearchpeer-review

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