A note on the initial identification of scalar component models

作者：Pestano Gabino Celina; Gonzalez Concepcion Concepcion^*; Gil Farina Maria Candelaria

来源：Numerical Algorithms, 2011, 58(3): 439-449.

DOI：10.1007/s11075-011-9462-9

• VARMA models
• Scalar Component Models (SCM)
• Identification stage
• Sure overall orders
• Corank and rank tables
• Matrix Pade approximation

This paper solves an open theoretical question in the identification stage of Scalar Component Models, posed initially by Tiao and Tsay and noted by several researchers, specifically as it refers to the choice of a certain parameter present in the process and which they denote h. The theoretical concept of sure overall orders, instead of the so-called overall orders, is useful in addressing this issue. Using simple examples, we justify the need for our theoretical results. Moreover, we use a Ranks Table and its properties to complement the SCM identification stage with interesting theoretical information without adding significant calculations to the procedure initially proposed by Tiao and Tsay.

• 出版日期2011-11