Bootstrap estimates of the sample bivariate autocorrelation and partial autocorrelation distributions

DOI10.1080/00949659308811505zbMath0775.62235OpenAlexW2028195326MaRDI QIDQ5287325

Amir D. Aczel, Hans R. Künsch, Norman Josephy

Publication date: 23 August 1993

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

Full work available at URL: https://doi.org/10.1080/00949659308811505

Mathematics Subject Classification ID

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

Cites Work

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• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Time series: theory and methods
• On the asymptotic accuracy of Efron's bootstrap
• Bootstrap methods: another look at the jackknife
• The jackknife and the bootstrap for general stationary observations
• ESTIMATING VARIANCES AND COVARIANCES OF SAMPLE AUTOCORRELATIONS AND AUTOCOVARIANCES
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• Further Contributions to the Problem of Serial Correlation
• Note on the Distribution of the Serial Correlation Coefficient
• A new look at the statistical model identification

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