The DOI matches its Crossref record; 15 of the 15 references it cites were found in a registry or an index.
Optimal Choice of AR and MA Parts in Autoregressive Moving Average Models
Abstract
This paper deals with the Bayesian method of choosing the best model for a given one-dimensional series among a finite number of candidates belonging to autoregressive (AR), moving average (MA), ARMA, and other families. The series could be either a sequence of observations in time as in speech applications, or a sequence of pixel intensities of a two-dimensional image. The observation set is not restricted to be Gaussian. We first derive an optimum decision rule for assigning the given observation set to one of the candidate models so as to minimize the average probability of error in the decision. We also derive an optimal decision rule so as to minimize the average value of the loss function. Then we simplify the decision rule when the candidate models are different Gaussian ARMA models of different orders. We discuss the consistency of the optimal decision rule and compare it with the other decision rules in the literature for comparing dynamical models.
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Cites
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Akaike, H. (1974) · IEEE Transactions on Automatic Control · doi:10.1109/tac.1974.1100705 · Cited by 51,879
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Schwarz, G. (1978) · The Annals of Statistics · doi:10.1214/aos/1176344136 · Cited by 47,033
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Makhoul, J. (1975) · Proceedings of the IEEE · doi:10.1109/proc.1975.9792 · Cited by 4,023
Selection of the order of an autoregressive model by Akaike's information criterion
SHIBATA, R. (1976) · Biometrika · doi:10.1093/biomet/63.1.117 · Cited by 789
A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
AKAIKE, H. (1979) · Biometrika · doi:10.1093/biomet/66.2.237 · Cited by 629
The Estimation of the Order of an ARMA Process
Hannan, E. J. (1980) · The Annals of Statistics · doi:10.1214/aos/1176345144 · Cited by 489
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Stochastic models for closed boundary analysis: Representation and reconstruction
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Self-citationInconsistency of the AIC rule for estimating the order of autoregressive models
Kashyap, R. (1980) · IEEE Transactions on Automatic Control · doi:10.1109/tac.1980.1102471 · Cited by 171
Self-citation
Cited by
Bozdogan, H. (1987) · Psychometrika · doi:10.1007/bf02294361 · Cited by 4,468
Assessment and Propagation of Model Uncertainty
Draper, D. (1995) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.2517-6161.1995.tb02015.x · Cited by 1,599
Model uncertainty, data mining and statistical inference
Chatfield, C. (1995) · Journal of the Royal Statistical Society. Series A (Statistics in Society) · doi:10.2307/2983440 · Cited by 1,103
Carrera, J., & Neuman, S. P. (1986) · Water Resources Research · doi:10.1029/wr022i002p00199 · Cited by 871
Metadata
- Authors
- Kashyap, R. L.
- Venue
- IEEE Transactions on Pattern Analysis and Machine Intelligence
- Published
- 1982-03
- Volume
- PAMI-4
- Issue
- 2
- Pages
- 99-104
- ISSN
- 0162-8828 (ISSN-L)
- OpenAlex
- W2066944697
- Cited by
- 329
- References
- 15
- FWCI
- 5.76
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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