JSM 2003 Online Program

Abstract #301916

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Activity Number:	378
Type:	Contributed
Date/Time:	Wednesday, August 6, 2003 : 12:00 PM to 1:50 PM
Sponsor:	General Methodology
Abstract - #301916
Title:	Order Selection for Short Memory Exponential Time Series Models
Author(s):	Scott H. Holan*+
Companies:	Texas A&M University
Address:	3130 E 29th St., Bryan, TX, 77802-2728,
Keywords:	memory ; exponential model ; order selection
Abstract:	The exponential model of Bloomfield (1973) is becoming more important because of its recent application to modeling long memory time series. One problem encountered when using this model is order selection. A current method for selecting the order is a data driven method and is based on Mallow's Cp criterion for linear regression. I consider the EXP as data model and use order selection methods as a means of obtaining candidate models. I then choose the candidate model which best fits the data as measured by using goodness of fit criterion in both the time and frequency domain. This procedure is illustrated using a real data example.

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