Bootstrap order selection for SETAR models

DOI10.1080/00949655.2013.811507MaRDI QIDQ5220715zbMATH OpenOpenAlexFDO

Authors Livio Fenga, Dimitris Politis

Publication date 27 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2013.811507

zbMATH Keywords

bootstrapartificial neural networksAICorder selectionmoving block bootstrapSETAR process

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

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Cited in

(10)

• Improved bootstrap prediction intervals for SETAR models
• Bootstrap autoregressive order selection
• Cross-validation criteria for SETAR model selection
• Linear approximation of the threshold autoregressive model: an application to order estimation
• SETAR model selection -- a bootstrap approach
• Bootstrap order determination for ARMA models: a comparison between different model selection criteria
• Generating prediction bands for path forecasts from SETAR models
• Bootstrap tuning in Gaussian ordered model selection
• Bootstrapping threshold autoregressive models
• Predictive density criterion for SETAR models

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