ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP

DOI10.1111/j.1467-9892.1992.tb00117.xzbMath0752.62066OpenAlexW2057678251MaRDI QIDQ4021568

Efstathios Paparoditis, Bernd Streitberg

Publication date: 16 January 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1992.tb00117.x

zbMATH Keywords

identificationtime seriesresamplingsimulationsexamplesresidualscanonical correlationsbootstrap procedureasymptotic validity\(\text{ARMA}(p,q)\) modelcontinuous, positive spectral densitylarge-sample Gaussian approximationsvector autocorrelation estimateszero-mean weakly stationary stochastic process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites Work

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• Time series: theory and methods
• On confidence intervals and tests for autocorrelations
• Some asymptotic theory for the bootstrap
• Consistent autoregressive spectral estimates
• Bootstrap methods: another look at the jackknife
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• Approximation Theorems of Mathematical Statistics
• Use of canonical analysis in time series model identification
• On the Relationship Between the S Array and the Box-Jenkins Method of ARMA Model Identification

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