Bootstrap order selection for SETAR models

DOI10.1080/00949655.2013.811507zbMath1457.62261OpenAlexW2000302860MaRDI QIDQ5220715

Livio Fenga, Dimitris N. Politis

Publication date: 27 March 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2013.811507

zbMATH Keywords

bootstrapartificial neural networksAICorder selectionmoving block bootstrapSETAR process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

Related Items (3)

Predictive density criterion for SETAR models ⋮ Linear approximation of the threshold autoregressive model: an application to order estimation ⋮ Generating prediction bands for path forecasts from SETAR models

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