ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP

Efstathios Paparoditis and Bernd Streitberg

Journal of Time Series Analysis, 1992, vol. 13, issue 5, 415-434

Abstract: Abstract. In this paper we consider the vector autocorrelation approach for identifying ARMA (p, q) models and use a bootstrap procedure in order to evaluate the distribution of the corresponding sample statistics by means of a resampling scheme for the residuals when p and q are unknown. The asymptotic validity of the bootstrap procedure applied to the vector autocorrelation estimates is established. Some simulations and examples demonstrating the appropriateness of the proposed bootstrap procedure in comparison with large‐sample Gaussian approximations are included.

Date: 1992
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https://doi.org/10.1111/j.1467-9892.1992.tb00117.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:13:y:1992:i:5:p:415-434

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