Bootstrap Order Determination for ARMA Models: A Comparison between Different Model Selection Criteria
The present paper deals with the order selection of models of the class for autoregressive moving average. A novel method—previously designed to enhance the selection capabilities of the Akaike Information Criterion and successfully tested—is now extended to the other three popular selectors commonl...
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| Format: | Article |
| Language: | English |
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Wiley
2017-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2017/1235979 |
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| _version_ | 1832562258134171648 |
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| author | Livio Fenga |
| author_facet | Livio Fenga |
| author_sort | Livio Fenga |
| collection | DOAJ |
| description | The present paper deals with the order selection of models of the class for autoregressive moving average. A novel method—previously designed to enhance the selection capabilities of the Akaike Information Criterion and successfully tested—is now extended to the other three popular selectors commonly used by both theoretical statisticians and practitioners. They are the final prediction error, the Bayesian information criterion, and the Hannan-Quinn information criterion which are employed in conjunction with a semiparametric bootstrap scheme of the type sieve. |
| format | Article |
| id | doaj-art-3ad5be243dc84b8f86d33121e44cb4ef |
| institution | Kabale University |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2017-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-3ad5be243dc84b8f86d33121e44cb4ef2025-02-03T01:23:02ZengWileyJournal of Probability and Statistics1687-952X1687-95382017-01-01201710.1155/2017/12359791235979Bootstrap Order Determination for ARMA Models: A Comparison between Different Model Selection CriteriaLivio Fenga0University of California San Diego (UCSD), San Diego, CA, USAThe present paper deals with the order selection of models of the class for autoregressive moving average. A novel method—previously designed to enhance the selection capabilities of the Akaike Information Criterion and successfully tested—is now extended to the other three popular selectors commonly used by both theoretical statisticians and practitioners. They are the final prediction error, the Bayesian information criterion, and the Hannan-Quinn information criterion which are employed in conjunction with a semiparametric bootstrap scheme of the type sieve.http://dx.doi.org/10.1155/2017/1235979 |
| spellingShingle | Livio Fenga Bootstrap Order Determination for ARMA Models: A Comparison between Different Model Selection Criteria Journal of Probability and Statistics |
| title | Bootstrap Order Determination for ARMA Models: A Comparison between Different Model Selection Criteria |
| title_full | Bootstrap Order Determination for ARMA Models: A Comparison between Different Model Selection Criteria |
| title_fullStr | Bootstrap Order Determination for ARMA Models: A Comparison between Different Model Selection Criteria |
| title_full_unstemmed | Bootstrap Order Determination for ARMA Models: A Comparison between Different Model Selection Criteria |
| title_short | Bootstrap Order Determination for ARMA Models: A Comparison between Different Model Selection Criteria |
| title_sort | bootstrap order determination for arma models a comparison between different model selection criteria |
| url | http://dx.doi.org/10.1155/2017/1235979 |
| work_keys_str_mv | AT liviofenga bootstraporderdeterminationforarmamodelsacomparisonbetweendifferentmodelselectioncriteria |