Parameter estimation and order determination of INARMA models

A reversible jump MCMC for estimating the parameters and order of integer-valued autogressive moving average time series models. Uses the algorithm detailed in Enciso-Mora, V., Neal, P. and Subba Rao, T. (2009), Efficient order selection algorithms for integer-valued ARMA processes. Journal of Time Series Analysis, 30: 1-18. https://doi.org/10.1111/j.1467-9892.2008.00592.x

Files

• Documentation.pdf - Details the algorithm
• INARMA_RJMCMC.py - Main algorithm function
• INARMA_backend.py - Backend functions used in INARMA_RJMCMC.py
• Applicaton.ipynb - Illustration of application to disability benefit claims data in trees.csv