On the Vector Autoregressive Sieve Bootstrap

DOI10.1111/jtsa.12090zbMath1325.62067OpenAlexW2058543874MaRDI QIDQ5251505

Marco Meyer, Jens-Peter Kreiss

Publication date: 20 May 2015

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

Full work available at URL: https://doi.org/10.1111/jtsa.12090

zbMATH Keywords

bootstrapautoregressionmultivariate time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40)

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