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Model selection for integrated autoregressive processes of infinite order

โœ Scribed by Ching-Kang Ing; Chor-yiu Sin; Shu-Hui Yu


Book ID
113726711
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
320 KB
Volume
106
Category
Article
ISSN
0047-259X

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Bootstrapping Autoregressive and Moving
โœ Efstathios Paparoditis ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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 ร„ at an appr