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

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

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 dete...

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Main Authors: Sen, Liew Khim, Shitana, Mahendran
Format: Article
Language:English
English
Published: Universiti Putra Malaysia Press 2002
Online Access:http://psasir.upm.edu.my/id/eprint/3803/1/The_Performance_of_AlCC_as_an_Order_Selection_Criterion_in.pdf
http://psasir.upm.edu.my/id/eprint/3803/
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Institution: Universiti Putra Malaysia
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id my.upm.eprints.3803
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spelling my.upm.eprints.38032013-05-27T07:11:22Z http://psasir.upm.edu.my/id/eprint/3803/ The Performance of AlCC as an Order Selection Criterion in ARMA Time Series Models Sen, Liew Khim Shitana, Mahendran 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. Universiti Putra Malaysia Press 2002 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/3803/1/The_Performance_of_AlCC_as_an_Order_Selection_Criterion_in.pdf 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 English
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
English
description 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.
format Article
author Sen, Liew Khim
Shitana, Mahendran
spellingShingle Sen, Liew Khim
Shitana, Mahendran
The Performance of AlCC as an Order Selection Criterion in ARMA Time Series Models
author_facet Sen, Liew Khim
Shitana, Mahendran
author_sort Sen, Liew Khim
title The Performance of AlCC as an Order Selection Criterion in ARMA Time Series Models
title_short The Performance of AlCC as an Order Selection Criterion in ARMA Time Series Models
title_full The Performance of AlCC as an Order Selection Criterion in ARMA Time Series Models
title_fullStr The Performance of AlCC as an Order Selection Criterion in ARMA Time Series Models
title_full_unstemmed The Performance of AlCC as an Order Selection Criterion in ARMA Time Series Models
title_sort performance of alcc as an order selection criterion in arma time series models
publisher Universiti Putra Malaysia Press
publishDate 2002
url http://psasir.upm.edu.my/id/eprint/3803/1/The_Performance_of_AlCC_as_an_Order_Selection_Criterion_in.pdf
http://psasir.upm.edu.my/id/eprint/3803/
_version_ 1643822717699358720

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