Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes

DOI10.1006/jmva.1996.0034zbMath0863.62078OpenAlexW2021851746MaRDI QIDQ1914701

Efstathios Paparoditis

Publication date: 5 August 1996

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1996.0034

zbMATH Keywords

bootstrapmultivariate time seriesestimated autoregressive coefficientsestimated moving average coefficientsimpuls responsesinfinite order vector autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

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