๐”– Bobbio Scriptorium
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A Note on the Estimation of the Parameters of the Autoregressive-Moving Average Process

โœ Scribed by D. M. Cooper and R. Thompson


Book ID
124236675
Publisher
Oxford University Press
Year
1977
Tongue
English
Weight
577 KB
Volume
64
Category
Article
ISSN
0006-3444

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We consider an r-dimensional multivariate time series [y t , t # Z] which is generated by an infinite order vector autoregressive process. We show that a bootstrap procedure which works by generating time series replicates via an estimated finite k-order vector autoregressive process (k ร„ at an appr