IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v13y1992i5p415-434.html
   My bibliography  Save this article

Order Identification Statistics In Stationary Autoregressive Moving‐Average Models:Vector Autocorrelations And The Bootstrap

Author

Listed:
  • Efstathios Paparoditis
  • Bernd Streitberg

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.

Suggested Citation

  • Efstathios Paparoditis & Bernd Streitberg, 1992. "Order Identification Statistics In Stationary Autoregressive Moving‐Average Models:Vector Autocorrelations And The Bootstrap," Journal of Time Series Analysis, Wiley Blackwell, vol. 13(5), pages 415-434, September.
    • Handle: RePEc:bla:jtsera:v:13:y:1992:i:5:p:415-434
    DOI: 10.1111/j.1467-9892.1992.tb00117.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.1992.tb00117.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9892.1992.tb00117.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Alexander Braumann & Jens‐Peter Kreiss & Marco Meyer, 2021. "Simultaneous inference for autocovariances based on autoregressive sieve bootstrap," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(5-6), pages 534-553, September.
    2. Hella, Heikki, 2003. "On robust ESACF identification of mixed ARIMA models," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2003_027, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:13:y:1992:i:5:p:415-434. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.