Bootstrap order determination for ARMA models: a comparison between different model selection criteria (Q1658076)
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scientific article; zbMATH DE number 6917564
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| English | Bootstrap order determination for ARMA models: a comparison between different model selection criteria |
scientific article; zbMATH DE number 6917564 |
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Bootstrap order determination for ARMA models: a comparison between different model selection criteria (English)
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14 August 2018
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Summary: The present paper deals with the order selection of models of the class for autoregressive moving average. A novel method -- previously designed to enhance the selection capabilities of the Akaike Information Criterion and successfully tested -- is now extended to the other three popular selectors commonly used by both theoretical statisticians and practitioners. They are the final prediction error, the Bayesian information criterion, and the Hannan-Quinn information criterion which are employed in conjunction with a semiparametric bootstrap scheme of the type sieve.
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0.8715068697929382
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