RT Generic
T1 Estimating the system order by subspace methods
A1 García-Hiernaux, Alfredo
A1 Casals, José
A1 Jerez, Miguel
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB This paper discusses how to determine the order of a state-space model. To do so, we start byrevising existing approaches and find in them three basic shortcomings: i) some of them have apoor performance in short samples, ii) most of them are not robust and iii) none of them canaccommodate seasonality. We tackle the first two issues by proposing new and refined criteria.The third issue is dealt with by decomposing the system into regular and seasonal sub-systems.The performance of all the procedures considered is analyzed through Monte Carlo simulations.
YR 2007
FD 2007-01
LK https://hdl.handle.net/10016/932
UL https://hdl.handle.net/10016/932
LA eng
LA eng
DS e-Archivo
RD 19 may. 2024