Bootstrapping ARMA time series models after model selection

DOI10.1080/03610926.2023.2280546MaRDI QIDQ6641337zbMATH OpenFDO

Authors Mulubrhan G. Haile, David J. Olive

Publication date 20 November 2024

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2023.2280546

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• A method for autoregressive-moving average estimation
• Applications of hyperellipsoidal prediction regions
• Blockwise bootstrapped empirical process for stationary sequences
• Bootstrap Methods for Time Series
• Bootstrapping multiple linear regression after variable selection
• Bootstrapping some GLM and survival regression variable selection estimators
• Bootstraps for time series
• Comparing six shrinkage estimators with large sample theory and asymptotically optimal prediction intervals
• Consistent order selection for ARFIMA processes
• Data-driven nonparametric prediction intervals
• Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
• EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
• Estimating the dimension of a model
• Estimation and information in stationary time series
• Estimation for autoregressive moving average models in the time and frequency domains
• ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES
• Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
• scientific article; zbMATH DE number 3936300 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 3635352 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Lasso based variable selection of ARMA models
• Linear regression
• Model Selection and Model Averaging
• On a General Concept of "In Probability"
• On the range of validity of the autoregressive sieve bootstrap
• On the Statistical Treatment of Linear Stochastic Difference Equations
• Recursive estimation of mixed autoregressive-moving average order
• Regression and time series model selection in small samples
• Resampling methods for dependent data
• Robust multivariate analysis
• Selection of the order of an autoregressive model by Akaike's information criterion
• Sieve bootstrap for time series
• The asymptotic theory of linear time-series models
• The bootstrap in hypothesis testing
• The estimation of the order of an ARMA process
• Theoretical comparison of bootstrap confidence intervals
• Time Series
• Time series analysis by state space methods

This page was built for publication: Bootstrapping ARMA time series models after model selection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6641337)