Bootstrap-based ARMA order selection

DOI10.1080/00949650903484166zbMath1219.62136OpenAlexW2004106137MaRDI QIDQ3087814

Livio Fenga, Dimitris N. Politis

Publication date: 17 August 2011

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650903484166

zbMATH Keywords

AICARMA processesSIEVE bootstrap

Mathematics Subject Classification ID

Related Items (5)

Rejoinder -- Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions ⋮ Bootstrap order determination for ARMA models: a comparison between different model selection criteria ⋮ LASSO order selection for sparse autoregression: a bootstrap approach ⋮ Control charts based on fuzzy costs for monitoring short autocorrelated time series ⋮ Bootstrap order selection for SETAR models

Uses Software

• bootlib

Cites Work

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