A METHODOLOGY FOR SELECTING SUBSET AUTOREGRESSIVE TIME SERIES MODELS

Gwo‐Hsing Yu and Yow‐Chang Lin

Journal of Time Series Analysis, 1991, vol. 12, issue 4, 363-373

Abstract: Abstract. In time series modelling, subset models are often desirable, especially when the data exhibit some form of periodic behaviour with a range of different natural periods in terms of days, weeks, months and years. Recently, Hokstad proposed a method based on personal judgement for selecting the first tentative model to obtain the best subset autoregressive model. The subjective approach adopted in the Hokstad method is a disadvantage in building up a computer program which could automatically select the appropriate model of a given time series. In this paper, we propose overcoming this disadvantage by employing the inverse autocorrelation function to select the first tentative model. In addition to sets of synthetic data, some well‐known real series such as the D, E and F series of Box and Jenkins and the Canadian lynx data are analysed to validate the proposed method. The results indicate that the method can successfully detect the true model for a given time series.

Date: 1991
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