Limit theory and bootstrap for explosive and partially explosive autoregression

DOI10.1016/0304-4149(94)00078-8zbMath0820.62072OpenAlexW2045868572MaRDI QIDQ1893864

Somnath Datta

Publication date: 14 September 1995

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)00078-8

zbMATH Keywords

bootstraprootscharacteristic polynomialunit circleKolmogorov distancelimiting distributionleast squares estimatornonstationaryautoregressive processsampling distributionheavy tailed distributionconcentration functionsexplosive casepartially explosive models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (8)

Limit theory and bootstrap for explosive and partially explosive autoregression ⋮ A modified bootstrap for autoregression without stationarity ⋮ Estimation of the offspring mean in a supercritical or near-critical size-dependent branching process ⋮ Asymptotic distributions of some robust scale estimators in explosive AR(1) model ⋮ On asymptotic properties of bootstrap for AR(1) processes ⋮ Optimal change-point estimation in time series ⋮ Recent developments in bootstrapping time series ⋮ Asymptotics of regressions with stationary and nonstationary residuals.

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