ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP
Date
1992Source
Journal of Time Series AnalysisVolume
13Issue
5Pages
415-434Google Scholar check
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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 of a resampling scheme for the residuals when p and q are unknown. The asymptotic validity of the bootstrap procedure applied to the vector autocorrelation estimates is established. Some simulations and examples demonstrating the appropriateness of the proposed bootstrap procedure in comparison with large‐sample Gaussian approximations are included. Copyright © 1992, Wiley Blackwell. All rights reserved