Bootstrap order selection for autoregressive models

DOI10.1080/00949659808811911MaRDI QIDQ4237835zbMATH OpenOpenAlexFDO

Authors

Publication date 14 June 1999

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

Full work available at URL https://doi.org/10.1080/00949659808811911

zbMATH Keywords

autoregressionorder selectionexperimental designsmoving block bootstrap

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

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Cites work

• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• scientific article; zbMATH DE number 854585 (Why is no real title available?)
• A new look at the statistical model identification
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• Bootstrap Model Selection
• Bootstrap methods: another look at the jackknife
• Bootstrapping regression models
• Determining a portfolio of linear time series models
• Elements of multivariate time series analysis
• Estimating Regression Models of Finite but Unknown Order
• Estimating the dimension of a model
• Fitting autoregressive models for prediction
• On blocking rules for the bootstrap with dependent data
• On bootstrapping two-stage least-squares estimates in stationary linear models
• Some recent advances in time series modeling
• The Stationary Bootstrap
• The jackknife and the bootstrap for general stationary observations
• The moving blocks bootstrap and robust inference for linear least squares and quantile regressions

Cited in

(9)

• Bootstrap-based ARMA order selection
• Bootstrap autoregressive order selection
• Consistent order selection for noncausal autoregressive models via higher-order statistics
• LASSO order selection for sparse autoregression: a bootstrap approach
• Bootstrap order selection for SETAR models
• Bootstrap order determination for ARMA models: a comparison between different model selection criteria
• Bootstrap method for minimum message length autoregressive model order selection
• Bootstrapping the order selection test
• Bootstrap tuning in Gaussian ordered model selection

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