Bootstrapping continuous-time autoregressive processes
β Scribed by Brockwell, Peter J.; Kreiss, Jens-Peter; Niebuhr, Tobias
- Book ID
- 121582255
- Publisher
- Springer Japan
- Year
- 2013
- Tongue
- English
- Weight
- 357 KB
- Volume
- 66
- Category
- Article
- ISSN
- 0020-3157
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π SIMILAR VOLUMES
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 Γ at an appr
Identi"cation of continuous-time autoregressive processes from discrete-time data by replacing the di!erentiation operator by an approximation is considered. A linear regression model can then be formulated. The least-squares method and the instrumental variables method must be used with some care t