Properties of the nonparametric autoregressive bootstrap

DOI10.1111/1467-9892.00278zbMath1062.62173OpenAlexW3122381600MaRDI QIDQ4677009

Enno Mammen, Jürgen Franke, Michael H. Neumann, Jens-Peter Kreiss

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://archiv.ub.uni-heidelberg.de/volltextserver/20796/1/beitrag.52.pdf

zbMATH Keywords

bootstrapconsistencycouplinggeometric ergodicitynonparametric autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09)

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Cites Work

• Markov chains and stochastic stability
• Mixing: Properties and examples
• Subsampling for heteroskedastic time series
• Regression-type inference in nonparametric autoregression
• Strong approximation of density estimators from weakly dependent observations by density estimators from independent observations
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