Bootstrap choice of non-nested autoregressive model with non-normal innovations

DOI10.1515/mcma-2023-2010OpenAlexW4383067372MaRDI QIDQ6073727

Sedigheh Zamani Mehreyan

Publication date: 18 September 2023

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2023-2010

zbMATH Keywords

model selectionautoregressive modelmodified maximum likelihoodtracking intervalmoving blocking bootstrap

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40)

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