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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 |
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URN: | urn:nbn:de:hbz:386-kluedo-9366 |
Series (Serial Number): | Report in Wirtschaftsmathematik (WIMA Report) (46) |
Document Type: | Preprint |
Language of publication: | English |
Year of Completion: | 1999 |
Year of first Publication: | 1999 |
Publishing Institution: | Technische Universität Kaiserslautern |
Date of the Publication (Server): | 2000/02/18 |
Tag: | Autoregression; bootstrap; final prediction error; order selection |
Faculties / Organisational entities: | Kaiserslautern - Fachbereich Mathematik |
DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
Licence (German): | Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011 |