A modified bootstrap for autoregression without stationarity
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Publication:1361730
DOI10.1016/S0378-3758(96)00092-4zbMath0937.62639MaRDI QIDQ1361730
Publication date: 22 March 2000
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
least squares estimatorautoregressive parameterasymptotically valid bootstrapbootstrap for autoregression
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)
Related Items
A discussion of ``Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions by L. Pan and D. N. Politis, Large-sample inference in the general AR(1) model
Cites Work
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