Bootstrapping Threshold Autoregressive Models

DOI10.1007/978-3-642-57489-4_27zbMath1439.62029OpenAlexW1520031055MaRDI QIDQ3298676

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

AICmoving block bootstrapAR-sieve bootstrapAIC\(_{\mathrm C}\)AIC\(_{\mathrm u}\)bootstrap model selection criteria

Mathematics Subject Classification ID

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

Uses Software

• bootstrap

Cites Work

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• Threshold models in non-linear time series analysis
• Matched-block bootstrap for dependent data
• Sieve bootstrap for time series
• The jackknife and the bootstrap for general stationary observations
• Cross‐validation Criteria for Setar Model Selection
• A note on the corrected Akaike information criterion for threshold autoregressive models
• Testing and Modeling Threshold Autoregressive Processes
• On blocking rules for the bootstrap with dependent data