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Biometrika 1987 74(1):125-137; doi:10.1093/biomet/74.1.125
© 1987 by Biometrika Trust
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Determining a portfolio of linear time series models

D. S. POSKITT and A. R. TREMAYNE

Department of Statistics, Australian National University Canberra ACT 2601, Australia
Department of Economics & Related Studies, University of York York YO1 5DD, U.K.

The paper applies selection criteria to order determination in linear time series models in a less mechanical fashion than is often found. This is achieved via posterior odds ratios and by applying concepts of grades of evidence advanced by Jeffreys (1961). It is shown how alternative specifications may be compared and this leads to the development of a practical method for determining a portfolio of different models, each of which may be regarded as reasonable for the data and which could be useful in subsequent tasks such as forecasting. To complement the theory, some simulation experiments are reported which illustrate the practical efficacy of the procedure.

Key Words: Autoregressive-moving average • Evidential strength • Order determination • Portfolio of models • Posterior odds • Selection criterion


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