Department of Statistics and Centre for Advanced Studies, University of Pune, 411 007, India. e-mail: firstname.lastname@example.org
ORDER SELECTION IN ARMA MODELS USING THE FOCUSED INFORMATION CRITERION
Article first published online: 28 SEP 2011
© 2011 Australian Statistical Publishing Association Inc.
Australian & New Zealand Journal of Statistics
Volume 53, Issue 2, pages 217–231, June 2011
How to Cite
Rohan, N. and Ramanathan, T. V. (2011), ORDER SELECTION IN ARMA MODELS USING THE FOCUSED INFORMATION CRITERION. Australian & New Zealand Journal of Statistics, 53: 217–231. doi: 10.1111/j.1467-842X.2011.00626.x
- Issue published online: 20 OCT 2011
- Article first published online: 28 SEP 2011
- autoregressive moving average models;
- information criteria;
- time series model selection
This paper develops a new approach for order selection in autoregressive moving average models using the focused information criterion. This criterion minimizes the asymptotic mean squared error of the estimator of a parameter of interest. Simulation studies indicate that the suggested criterion is quite effective and comparable to the Akaike information criterion, the corrected Akaike information criterion and the Bayesian information criterion in autoregressive moving average order selection. The use of the focused information criterion for the simultaneous selection of regression variables and order of the error process in a linear regression model with autoregressive moving average errors is also considered.