Resampling for order estimation of autoregressive models with missing data

DOI10.1080/03610918.2013.809189MaRDI QIDQ5259160zbMATH OpenOpenAlexFDO

Authors Abdelaziz El Matouat, Freedath Djibril Moussa, Hassania Hamzaoui

Publication date 24 June 2015

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2013.809189

zbMATH Keywords

EM algorithmmissing datainformation criteriaresamplingautoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical ranking and selection procedures (62F07)

Recommendations

• scientific article; zbMATH DE number 777877
• PARAMETER ESTIMATION FOR LOW‐ORDER AUTO‐REGRESSIVE MODELS WITH MISSING VALUES
• Order determination for multivariate autoregressive processes using resampling methods
• Identification of ARX-models subject to missing data
• Missing data estimation in AR\((p)\) models

Cites work

• scientific article; zbMATH DE number 4088699 (Why is no real title available?)
• scientific article; zbMATH DE number 1059776 (Why is no real title available?)
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• An Akaike information criterion for model selection in the presence of incomplete data.
• Estimating the dimension of a model
• Generalizing the derivation of the schwarz information criterion
• Model selection criteria for missing-data problems using the EM algorithm
• Selection of the order of an autoregressive model by Akaike's information criterion
• Time series: theory and methods.

Cited in

(3)

• scientific article; zbMATH DE number 777877 (Why is no real title available?)
• PARAMETER ESTIMATION FOR LOW‐ORDER AUTO‐REGRESSIVE MODELS WITH MISSING VALUES
• Penalized multiply robust estimation in high-order autoregressive processes with missing explanatory variables

Describes a project that uses

Uses Software

• R

This page was built for publication: Resampling for order estimation of autoregressive models with missing data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5259160)