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Bootstrap Order Determination for ARMA Models: A Comparison between Different Model Selection Criteria

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  • Livio Fenga

Abstract

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.

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  • Livio Fenga, 2017. "Bootstrap Order Determination for ARMA Models: A Comparison between Different Model Selection Criteria," Journal of Probability and Statistics, Hindawi, vol. 2017, pages 1-12, April.
    • Handle: RePEc:hin:jnljps:1235979
    DOI: 10.1155/2017/1235979
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    Cited by:

    1. Cribari-Neto, Francisco & Scher, Vinícius T. & Bayer, Fábio M., 2023. "Beta autoregressive moving average model selection with application to modeling and forecasting stored hydroelectric energy," International Journal of Forecasting, Elsevier, vol. 39(1), pages 98-109.

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