Comparison of automated procedures for ARMA model identification

From: Behavior Research Methods | Date: February 1, 2008| Author: | Copyright information

This article evaluates the performance of three automated procedures for ARMA model identification commonly available in current versions of SAS for Windows: MINIC, SCAN, and ESACF. Monte Carlo experiments with different model structures, parameter values, and sample sizes were used to compare the methods. On average, the procedures either correctly identified the simulated structures or selected parsimonious nearly equivalent mathematical representations in at least 60% of the trials conducted. For autoregressive models, MINIC achieved the best results. SCAN was superior to the other two ...

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