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)

Related Items (9)

Nonparametric change point detection in multivariate piecewise stationary time series ⋮ Bootstrap Prediction Bands for Functional Time Series ⋮ A prediction perspective on the Wiener–Hopf equations for time series ⋮ A frequency domain bootstrap for general multivariate stationary processes ⋮ Inverse covariance operators of multivariate nonstationary time series ⋮ Sieve bootstrap for functional time series ⋮ Bootstrapping INAR models ⋮ Estimating wold matrices and vector moving average processes ⋮ Unnamed Item

Cites Work

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• The jackknife and the bootstrap for general stationary observations
• Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
• A more general central limit theorem for \(m\)-dependent random variables with unbounded \(m\)
• REGRESSION, AUTOREGRESSION MODELS
• An Asymptotic Result for the Finite Predictor.

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