Bootstrapping general first order autoregression
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Publication:1129468
DOI10.1016/0167-7152(95)00205-7zbMath0903.62072OpenAlexW1964661204MaRDI QIDQ1129468
Jens-Peter Kreiss, Günter Heimann
Publication date: 16 August 1998
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-7152(95)00205-7
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Markov processes: hypothesis testing (62M02)
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Cites Work
- Bootstrapping explosive autoregressive processes
- Edgeworth correction by bootstrap in autoregressions
- Some asymptotic theory for the bootstrap
- Asymptotic distribution of an estimator of the boundary parameter of an unstable process
- On asymptotic properties of bootstrap for AR(1) processes
- Bootstrapping unstable first-order autoregressive processes
- Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
- Martingale Central Limit Theorems
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