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Robust and Consistent Estimates of Autoregressive-Moving Average Parameters

โœ Scribed by Guido Masarotto


Book ID
124289573
Publisher
Oxford University Press
Year
1987
Tongue
English
Weight
791 KB
Volume
74
Category
Article
ISSN
0006-3444

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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