𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Properties of the nonparametric autoregressive bootstrap

✍ Scribed by J. FRANKE; J.-P. KREISS; E. MAMMEN; M. H. NEUMANN


Book ID
108549505
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
239 KB
Volume
23
Category
Article
ISSN
0143-9782

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Bootstrapping Autoregressive and Moving
✍ Efstathios Paparoditis πŸ“‚ Article πŸ“… 1996 πŸ› Elsevier Science 🌐 English βš– 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 Γ„ at an appr