Estimation and bootstrap for stochastically monotone Markov processes

DOI10.1007/s00184-023-00903-7OpenAlexW4322624769MaRDI QIDQ6177661

Michael H. Neumann

Publication date: 17 January 2024

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-023-00903-7

zbMATH Keywords

bootstrapstochastic orderMarkov chainautoregressive processINARinteger-valued ARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Nonparametric statistical resampling methods (62G09) Discrete-time Markov processes on general state spaces (60J05)

Cites Work

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• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Branching processes with immigration
• Bootstrap for integer‐valued GARCH(p, q) processes

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