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A Note on Bootstrapping M-Estimators in ARMA Models

โœ Scribed by Michael Allen; Somnath Datta


Book ID
108549378
Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
273 KB
Volume
20
Category
Article
ISSN
0143-9782

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It is shown, under fairly general conditions, that Efron's bootstrap procedure captures the limit distribution of weighted empirical processes based on \(M\)-estimated residuals in multiple linear regression models. As an application, we construct bootstrap confidence bands for the error distributio