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Reversibility of first-order autoregressive processes

✍ Scribed by Hideo Ōsawa


Publisher
Elsevier Science
Year
1988
Tongue
English
Weight
968 KB
Volume
28
Category
Article
ISSN
0304-4149

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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