Bootstrapping an autoregressive time series model using SAS

DOI10.17654/AS050060435MaRDI QIDQ4589280zbMATH OpenFDO

Authors Maher Qumsiyeh, Robert Deis, Dalton Gannon

Publication date 10 November 2017

Published in Advances and Applications in Statistics (Search for Journal in Brave)

Full work available at URL http://www.pphmj.com/abstract/10940.htm

zbMATH Keywords

bootstrapARIMAsimulationtime seriesSASBox-Jenkins

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• scientific article; zbMATH DE number 6161651
• Bootstrap prediction intervals for autoregressive models fitted to non-autoregressive processes
• The bootstrap does not always work for heteroscedastic models
• Pitfalls of fitting autoregressive models for heavy-tailed time series
• BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS

Cited in

(3)

• Residual-based GARCH bootstrap and second order asymptotic refinement
• Time series analysis to forecast temperature change
• Dummy variable technique in forecasting modeling

Describes a project that uses

Uses Software

• SAS

This page was built for publication: Bootstrapping an autoregressive time series model using SAS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4589280)