SETAR model selection-A bootstrap approach
Copyright policy )SETAR model selection-A bootstrap approach
The authors propose a technique of order selection in the self-exciting threshold autoregressive (SETAR) time series models which is based on the bootstrap estimate of the true prediction power of the model. This approach is compared with some versions of Akaike's information criteria (AIC) via simulations. Application to the classical Canadian lynx data is also considered. The authors conclusion is that an unbiased bootstrap procedure outperforms AIC.
- Karolinska Institute Sweden
- University of Trieste Italy
Akaike information criterion, Time series, auto-correlation, regression, etc. in statistics (GARCH), self-exciting threshold autoregressive time series, Akaike information criterion - AR-sieve bootstrap - bootstrap model selection criteria - moving block bootstrap - self-exciting threshold autoregressive models - unbiased Akaike information criterion, AIC, Nonparametric statistical resampling methods
Akaike information criterion, Time series, auto-correlation, regression, etc. in statistics (GARCH), self-exciting threshold autoregressive time series, Akaike information criterion - AR-sieve bootstrap - bootstrap model selection criteria - moving block bootstrap - self-exciting threshold autoregressive models - unbiased Akaike information criterion, AIC, Nonparametric statistical resampling methods
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).1 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Citations provided by BIP!Popularity provided by BIP!