Garcia-Hiernaux, Alfredo; Casals, Jose; Jerez, Miguel - Departamento de Estadistica, Universidad Carlos III de … - 2007
This paper discusses how to determine the order of a state-space model. To do so, we start by revising existing approaches and find in them three basic shortcomings: i) some of them have a poor performance in short samples, ii) most of them are not robust and iii) none of them can accommodate...