## Bootstrap Autoregressive Order Selection

• In this paper we deal with the problem of fitting an autoregression of order p to given data coming from a stationary autoregressive process with infinite order. The paper is mainly concerned with the selection of an appropriate order of the autoregressive model. Based on the so-called final prediction error (FPE) a bootstrap order selection can be proposed, because it turns out that one relevant expression occuring in the FPE is ready for the application of the bootstrap principle. Some asymptotic properties of the bootstrap order selection are proved. To carry through the bootstrap procedure an autoregression with increasing but non-stochastic order is fitted to the given data. The paper is concluded by some simulations.

Author: Jürgen Franke, Jens-Peter Kreiss, Martin Moser urn:nbn:de:hbz:386-kluedo-9366 Report in Wirtschaftsmathematik (WIMA Report) (46) Preprint English 1999 1999 Technische Universität Kaiserslautern 2000/02/18 Autoregression ; bootstrap ; final prediction error ; order selection Fachbereich Mathematik 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011

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