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ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP
Author(s) -
Paparoditis Efstathios,
Streitberg Bernd
Publication year - 1992
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1992.tb00117.x
Subject(s) - mathematics , autocorrelation , resampling , autoregressive model , statistics , autoregressive–moving average model , moving average , gaussian , partial autocorrelation function , autoregressive integrated moving average , time series , physics , quantum mechanics
. 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.