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Bootstrap Autoregressive Order Selection

Franke, Jürgen ; Kreiss, Jens-Peter ; Moser, Martin

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Abstract

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 mainlyconcerned with the selection of an appropriate order of theautoregressive 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.

Item Type: Working paper
Place of Publication: Heidelberg
Date Deposited: 25 May 2016 13:40
Date: December 1998
Number of Pages: 19
Faculties / Institutes: The Faculty of Mathematics and Computer Science > Department of Applied Mathematics
Subjects: 510 Mathematics
Controlled Keywords: Autoregressiver Prozess
Uncontrolled Keywords: Autoregression; bootstrap; final prediction error; order selection
Schriftenreihe ID: Beiträge zur Statistik > Beiträge
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