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A Conditional Density Approach to the Order Determination of Time Series
Authors:Bärbel F Finkenstädt  Qiwei Yao  Howell Tong
Institution:(1) Department of Statistics, University of Warwick, Conventry, UK;(2) Department of Statistics, London School of Economics, London, UK;(3) Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam, Hong Kong
Abstract:The study focuses on the selection of the order of a general time series process via the conditional density of the latter, a characteristic of which is that it remains constant for every order beyond the true one. Using simulated time series from various nonlinear models we illustrate how this feature can be traced from conditional density estimation. We study whether two statistics derived from the likelihood function can serve as univariate statistics to determine the order of the process. It is found that a weighted version of the log likelihood function has desirable robust properties in detecting the order of the process.
Keywords:conditional density  nonparametric regression  entropy  embedding dimension  non-linear stochastic processes
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