Abstract #301390

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JSM 2003 Abstract #301390
Activity Number: 328
Type: Contributed
Date/Time: Wednesday, August 6, 2003 : 8:30 AM to 10:20 AM
Sponsor: Business & Economics Statistics Section
Abstract - #301390
Title: A Note on ARIMA Model Selection
Author(s): Victor Panaretos*+
Companies: Trinity College, Dublin
Address: Department of Mathematics, Dublin 2, , , Ireland
Keywords: ARIMA models ; model selection ; best subsets regression
Abstract:

We are concerned with the question of specifying an appropriate ARIMA model given a nonseasonal time series. We take advantage of the possibility of expressing an ARIMA model as a linear combination of certain lagged variables of the process, and a white noise process.

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