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Estimating Moving Average Parameters: Classical Pileups and Bayesian Posteriors

โœ Scribed by David N. DeJong and Charles H. Whiteman

Book ID
124648995
Publisher
American Statistical Association
Year
1993
Tongue
English
Weight
313 KB
Volume
11
Category
Article
ISSN
0735-0015

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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 ร„ at an appr