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Bootstrap testing multiple changes in persistence for a heavy-tailed sequence

✍ Scribed by Zhanshou Chen; Zi Jin; Zheng Tian; Peiyan Qi


Book ID
113557789
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
268 KB
Volume
56
Category
Article
ISSN
0167-9473

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A bootstrap approximation to a unit root
✍ Lajos HorvΓ‘th; Piotr Kokoszka πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 167 KB

In the context of the AR(1) model with innovations in the domain of attraction of an -stable law, we develop a residual bootstrap approximation to the distribution of a least-squares estimator of the autoregressive parameter when this parameter is equal to unity. Our procedure requires drawing boots