Linear bootstrap methods for vector autoregressive moving-average models

DOI10.1080/00949655.2014.925898zbMath1457.62266OpenAlexW2046016822MaRDI QIDQ5220857

Tarek Jouini

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2014.925898

zbMATH Keywords

bootstrapparametric methodsconfidence intervalslinear estimationstationaryinferencenonparametric methodsmaximized Monte Carlo testsinvertiblesmall-sampleechelon VARMA

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)

Uses Software

• bootstrap
• bootlib

Cites Work

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