A new approach to identify the structural order of par (p) models
AUTOR(ES)
Oliveira, Fernando Luiz Cyrino, Souza, Reinaldo Castro
FONTE
Pesquisa Operacional
DATA DE PUBLICAÇÃO
2011-12
RESUMO
The periodic autoregressive model, a particular structure of the Box & Jenkins family, denoted by PAR (p), is employed to model the series of hydrological streamflow used for estimating the operational costs of the Brazilian hydro-thermal optimal dispatch. Recently, some aspects of this approachbegan to be studied and several researches on this topic are being developed. This paper focuses on the identification stage of the orders p of these models. Nowadays, the identification is based on evaluating the significance of the coefficients of the partial autocorrelation function (PACF), based on the asymptoticresults of Quenouille. The purpose of this study is on the application of the computer-intensive Bootstraptechnique to estimate the significance of such coefficients. The results show that identification via Bootstrap is considerably more parsimonious, leading to the identification of lower orders in most cases andcorroborating some points raised in previous studies on the traditional approach.
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