Bootstrap autoregressive order selection

DOI10.1524/STND.2006.24.3.305MaRDI QIDQ3438351zbMATH OpenOpenAlexFDO

Authors Jürgen Franke, Martin Moser, Jens-Peter Kreiß

Publication date 15 May 2007

Published in Statistics & Decisions (Search for Journal in Brave)

Full work available at URL http://archiv.ub.uni-heidelberg.de/volltextserver/20784/1/beitrag.55.pdf

zbMATH Keywords

autoregressionbootstrapfinal prediction errororder selection

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Asymptotic properties of parametric estimators (62F12) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(9)

• Bootstrap order determination for ARMA models: a comparison between different model selection criteria
• Bootstrap tuning in Gaussian ordered model selection
• Bootstrap-based ARMA order selection
• Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm
• Bootstrap order selection for autoregressive models
• Bootstrapping the order selection test
• LASSO order selection for sparse autoregression: a bootstrap approach
• Conditional parametric bootstrap in GLARMA models
• Bootstrap methods for dependent data: a review

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