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Linear aggregation of vector autoregressive moving average processes

✍ Scribed by Helmut Lütkepohl


Book ID
116099424
Publisher
Elsevier Science
Year
1984
Tongue
English
Weight
244 KB
Volume
14
Category
Article
ISSN
0165-1765

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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