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