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Iterative versus noniterative derivation of moving average parameters of arma processes

โœ Scribed by Stefan Mittnik


Publisher
Elsevier Science
Year
1988
Tongue
English
Weight
233 KB
Volume
1
Category
Article
ISSN
0893-9659

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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