Bootstrapping periodogram and cross periodogram statistics of vector autoregressive moving average models

Bootstrapping Autoregressive and Moving

Bootstrapping Autoregressive and Moving Average Parameter Estimates of Infinite Order Vector Autoregressive Processes

✍ Efstathios Paparoditis 📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 925 KB

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