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

bootstrapautoregressionorder selectionfinal prediction error

Mathematics Subject Classification ID

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

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Cited in

(7)

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

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