ISSN:
1572-9265
Keywords:
Transfer-function model
;
Padé approximation
;
ε-algorithm
;
41
;
62
;
65
;
90
Source:
Springer Online Journal Archives 1860-2000
Topics:
Computer Science
,
Mathematics
Notes:
Abstract The aim of this paper is to apply an algorithm related to the rational approximation for the identification of the lag structure in a transfer-function model. In fact, we apply the ε-algorithm proposed by Berlinet [3–5] to determine the polynomial orders in univariate and multivariate ARMA models. Furthermore, it has been proposed by Berlinet [5], González and Cano [13, 14] and González et al. [15] for a transfer-function model with one input and multiple inputs, respectively. The main contribution in this paper concerns the study of the relative significance of the elements in the ε-algorithm table, in the same way as that given by Berlinet and Francq [7] for ARMA models, to confirm the pattern used to specify the model. Two examples will be considered, namely, the sales series M [8] and a simulated model [20]. A comparison is also made between the results of the ε-algorithm and the corner method generally used in the econometric literature. Although the ε-algorithm requires a more advanced theory in Numerical Analysis, it can be applied in a more simple way than the corner method.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF02141597
Permalink
