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.
Document type: | Working paper |
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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 > Institut für Mathematik |
DDC-classification: | 510 Mathematics |
Controlled Keywords: | Autoregressiver Prozess |
Uncontrolled Keywords: | Autoregression; bootstrap; final prediction error; order selection |
Series: | Beiträge zur Statistik > Beiträge |