Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes

DOI10.1111/jtsa.12088zbMath1325.62066OpenAlexW2169545054MaRDI QIDQ5251507

Carsten Jentsch, Efstathios Paparoditis, Dimitris N. Politis

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.12088

zbMATH Keywords

functional limit theoremblock bootstrapspurious regressionbootstrap consistencycontinuous-path block bootstrapmodel-based block bootstrap subclass

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (3)

Block bootstrapping for a panel mean break test ⋮ Estimating the variance of a combined forecast: bootstrap-based approach ⋮ Inference in VARs with conditional heteroskedasticity of unknown form

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