Browsing by Subject "bootstrap"
Now showing items 1-4 of 4
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Article
Bootstrap order selection for SETAR models
(2015)In this paper, we investigate the selecting performances of a bootstrapped version of the Akaike information criterion for nonlinear self-exciting threshold autoregressive-type data generating processes. Empirical results ...
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Article
Bootstrapping the augmented Dickey-Fuller test for unit root using the MDIC
(2012)In this paper, we consider the bootstrap procedure for the augmented Dickey-Fuller (ADF) unit root test by implementing the modified divergence information criterion (MDIC, Mantalos et al. [An improved divergence information ...
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Article
LASSO order selection for sparse autoregression: a bootstrap approach
(2017)Autoregressive models are widely employed for predictions and other inferences in many scientific fields. While the determination of their order is in general a difficult and critical step, this task becomes more complicated ...
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Article
ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP
(1992)Abstract. In this paper we consider the vector autocorrelation approach for identifying ARMA (p, q) models and use a bootstrap procedure in order to evaluate the distribution of the corresponding sample statistics by means ...