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Research Article

The Effect of Outliers on the Performance of Order Selection Criteria for Short Time Series

Zazli Chik
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The performance of various order selection criteria on short time series with the presence of outliners will be investigated. In order to reduce the influence of outliers, robust order selection criteria were introduced and their performance investigation. The results for order estimation for short time series with innovation outliers using least squares were identical to the results obtained for the case without outliers. Overall, the Bayesian modified of the AIC criterion, BIC gave the results. The robust order selection criteria did not perform well.

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  How to cite this article:

Zazli Chik , 2002. The Effect of Outliers on the Performance of Order Selection Criteria for Short Time Series. Journal of Applied Sciences, 2: 912-915.

DOI: 10.3923/jas.2002.912.915


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