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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Bibliographic Details
Published in:Journal of probability and statistics 2017-01, Vol.2017 (2017), p.1-12
Main Author: Fenga, Livio
Format: Article
Language:English
Subjects:
Bias
Economic models
Innovations
Noise
Studies
Time series
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Summary: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.
ISSN:1687-952X
1687-9538
DOI:10.1155/2017/1235979