Bootstrapping an autoregressive time series model using SAS

DOI10.17654/AS050060435zbMATH Open1378.62081MaRDI QIDQ4589280FDOQ4589280

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

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

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)

Cited In (2)

• Time series analysis to forecast temperature change
• Dummy variable technique in forecasting modeling

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)