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The Performance of AlCC as an Order Selection Criterion in ARMA Time Series Models


Citation

Sen, Liew Khim and Shitana, Mahendran (2002) The Performance of AlCC as an Order Selection Criterion in ARMA Time Series Models. Pertanika Journal of Science & Technology, 10 (1). pp. 25-33. ISSN 0128-7680

Abstract / Synopsis

This study is undertaken with the objective of investigating the performance of Akaike's Information Corrected Criterion (AlCC) as an order determination criterion for the selection of Autoregressive Moving-Average or ARMA (P,q) time series model. A simulation investigation was carried to determine the probability of the AlCC statistics picking up the correct model. Result obtained showed that the probability of the AlCC criterion picking up the correct model was moderately good. The problem of over parameterization existed but under parameterization was found to be minimal. Hence, for any two comparable models, it is always safe to choose the one with lower order of p and q.


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Additional Metadata

Item Type: Article
Publisher: Universiti Putra Malaysia Press
Keywords: AlCC, ARMA, under/over parameterization
Depositing User: Nur Izzati Mohd Zaki
Date Deposited: 02 Dec 2009 00:25
Last Modified: 27 May 2013 07:11
URI: http://psasir.upm.edu.my/id/eprint/3803
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