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 Ä at an appr
✦ LIBER ✦
Bootstrapping general first order autoregression
✍ Scribed by Günter Heimann; Jens-Peter Kreiss
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 488 KB
- Volume
- 30
- Category
- Article
- ISSN
- 0167-7152
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## Abstract Recent studies on bootstrap prediction intervals for autoregressive (AR) model provide simulation findings when the lag order is known. In practical applications, however, the AR lag order is unknown or can even be infinite. This paper is concerned with prediction intervals for AR model