𝔖 Bobbio Scriptorium
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ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES

✍ Scribed by B. M. Pötscher


Book ID
111039619
Publisher
John Wiley and Sons
Year
1990
Tongue
English
Weight
865 KB
Volume
11
Category
Article
ISSN
0143-9782

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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 Ä at an appr