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Amendments and Corrections: `Recursive Estimation of Mixed Autoregressive- Moving Average Order'

โœ Scribed by E. J. Hannan and J. Rissanen

Book ID
124289290
Publisher
Oxford University Press
Year
1983
Tongue
English
Weight
156 KB
Volume
70
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