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COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS

✍ Scribed by Helmut Lütkepohl


Book ID
111039466
Publisher
John Wiley and Sons
Year
1985
Tongue
English
Weight
775 KB
Volume
6
Category
Article
ISSN
0143-9782

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📜 SIMILAR VOLUMES


Bootstrapping Autoregressive and Moving
✍ 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