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.
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Concepción, C.G., Fernández, V.C. & Fariña, C.G. The ε-algorithm for the identification of a transfer-function model: some applications. Numer Algor 9, 379–395 (1995). https://doi.org/10.1007/BF02141597
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DOI: https://doi.org/10.1007/BF02141597