Bootstrapping periodogram and cross periodogram statistics of vector autoregressive moving average models

DOI10.1016/0167-7152(95)00047-XzbMath0849.62051OpenAlexW1974595597MaRDI QIDQ1916221

Efstathios Paparoditis

Publication date: 2 July 1996

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(95)00047-x

zbMATH Keywords

bootstrapperiodogram matrixstationary vector autoregressive moving average process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Cites Work

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• Time series: theory and methods.
• Law of large numbers for the subseries talues of a statistic from a stationary sequence
• Vector linear time series models
• BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS

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