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Estimation of the autoregression parameter with infinite dispersion of noise

โœ Scribed by A. S. Markov

Book ID
110152860
Publisher
SP MAIK Nauka/Interperiodica
Year
2009
Tongue
English
Weight
241 KB
Volume
70
Category
Article
ISSN
0005-1179

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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