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RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES

✍ Scribed by Georgi N. Boshnakov


Book ID
111039830
Publisher
John Wiley and Sons
Year
1996
Tongue
English
Weight
617 KB
Volume
17
Category
Article
ISSN
0143-9782

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Bootstrapping Autoregressive and Moving
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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 Γ„ at an appr