Simultaneous bootstrap for all three parameters in random coefficient autoregressive models

DOI10.1016/j.jkss.2014.01.001zbMath1306.62082OpenAlexW2038612832MaRDI QIDQ397236

Thorsten Fink, Jens-Peter Kreiss

Publication date: 11 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2014.01.001

zbMATH Keywords

bootstrapquasi maximum likelihoodrandom coefficient autoregressionasymptotic properties of estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40)

Related Items

Random autoregressive models: A structured overview

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