Bootstrapping a time series model: some empirical results

DOI10.1080/03610928608829340zbMath0612.62128OpenAlexW2053139042MaRDI QIDQ3753352

Don Holbert, Mun S. Son

Publication date: 1986

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928608829340

zbMATH Keywords

bootstrapmaximum likelihood estimationleast squaresstandard errorssecond-order autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Uses Software

• SAS/ETS

Cites Work

• Finite sample properties of estimators for autoregressive moving average models
• Bootstrap methods: another look at the jackknife
• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• A Statistical Evaluation of Multiplicative Congruential Random Number Generators with Modulus 2 31 - 1
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Linear Statistical Inference and its Applications
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