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

✍ Scribed by Efstathios Paparoditis

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 26 KB
Volume: 31
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(96)00201-5

No coin nor oath required. For personal study only.

✦ Synopsis

There are some not corrected misprints in the proof of Theorem 2.1 which could be misleading. In particular, the' ~' in the second line of the proof should be replaced by a' = '. The covariance matrix of the random variable Zc is equal to ,~. Finally, the assumption E(e4t) < oo for ie {1, 2} should be added to the properties of et in p. 385.

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