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A note on the initial identification of scalar component models

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Abstract

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.

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Authors and Affiliations

  1. Department of Applied Economics, Campus de Guajara, University of La Laguna, 38071 La Laguna, Tenerife, Spain

    Celina Pestano-Gabino, Concepción González-Concepción & María Candelaria Gil-Fariña

Authors
  1. Celina Pestano-Gabino
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  2. Concepción González-Concepción
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  3. María Candelaria Gil-Fariña
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Corresponding author

Correspondence to Concepción González-Concepción.

Additional information

This is an improved version of An Algebraic Analysis using Matrix Padé Approximation to Improve the Choice of Certain Parameter in Scalar Component Models Working Paper 10-08, Statistics and Econometrics Series 03, 2010, Department of Statistics, University Carlos III of Madrid (Spain). Work partially funded by Ministerio de Educación y Ciencia (MTM2008-06671 and MTM2006-14961-C05-03).

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Pestano-Gabino, C., González-Concepción, C. & Gil-Fariña, M.C. A note on the initial identification of scalar component models. Numer Algor 58, 439–449 (2011). https://doi.org/10.1007/s11075-011-9462-9

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  • DOI: https://doi.org/10.1007/s11075-011-9462-9

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