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Journal of Applied Sciences

Year: 2002 | Volume: 2 | Issue: 7 | Page No.: 783-788
DOI: 10.3923/jas.2002.783.788
Performance of Order Selection Criteria for Short Time Series
Zazli Chik

Abstract: The order of fitted time series models is unknown and constitutes, in effect, additional unknown parameters for which suitable values have to be estimated from the observed data. The approached pioneered by Akaike and Parzen involving the use of an order selection criterion provides a remarkable breakthrough which transforms the order selection problem from one of hypothesis testing to that of estimation. Different authors use different methods of determining the order of their fitted short time series models. Various order selection criteria will be used in a simulation study on fitted short time series models and the performance of each of the order selection criteria in estimating the correct order are investigated.

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How to cite this article
Zazli Chik , 2002. Performance of Order Selection Criteria for Short Time Series. Journal of Applied Sciences, 2: 783-788.

Keywords: Order selection, akaike�s FPE, AIC, BIC, schwarz�s criterion and hannan and quinn�s criterion

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