Bootstrapping threshold autoregressive models

DOI10.1007/978-3-642-57489-4_27MaRDI QIDQ3298676zbMATH OpenOpenAlexFDO

Authors John Öhrvik, Gabriella Schoier

Publication date 15 July 2020

Published in Compstat (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-57489-4_27

zbMATH Keywords

AICAIC\(_{\mathrm C}\)AIC\(_{\mathrm u}\)AR-sieve bootstrapbootstrap model selection criteriamoving block bootstrap

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A note on the corrected Akaike information criterion for threshold autoregressive models
• Cross-validation criteria for SETAR model selection
• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 410126 (Why is no real title available?)
• scientific article; zbMATH DE number 700041 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Matched-block bootstrap for dependent data
• On blocking rules for the bootstrap with dependent data
• Sieve bootstrap for time series
• Testing and Modeling Threshold Autoregressive Processes
• The jackknife and the bootstrap for general stationary observations
• Threshold models in non-linear time series analysis

Cited in

(2)

• Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach
• Bootstrap order selection for SETAR models

Describes a project that uses

Uses Software

• bootstrap

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