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.

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Author:Jürgen Franke, Jens-Peter Kreiss, Martin Moser
URN (permanent link):urn:nbn:de:hbz:386-kluedo-9366
Serie (Series number):Report in Wirtschaftsmathematik (WIMA Report) (46)
Document Type:Preprint
Language of publication:English
Year of Completion:1999
Year of Publication:1999
Publishing Institute:Technische Universität Kaiserslautern
Tag:Autoregression ; bootstrap ; final prediction error ; order selection
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:510 Mathematik

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