Bootstrap Confidence Regions Computed from Autoregressions of Arbitrary Order

DOI10.1111/1467-9868.00244zbMath0966.62027OpenAlexW2064000325MaRDI QIDQ4505995

Hall, Peter, Edwin Choi

Publication date: 23 November 2000

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9868.00244

zbMATH Keywords

calibrationsecond-order accuracyEdgeworth expansioncoverage accuracyblock bootstrapsieve bootstrapAkaike's information criterionmoving averagedouble bootstrappercentile methodstudentizationautoregressive bootstrappercentile t method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Nonparametric statistical resampling methods (62G09)

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