BOOTSTRAP FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS

DOI10.1111/JTSA.12041zbMath1306.62195OpenAlexW1947880883MaRDI QIDQ5408112

Thorsten Fink, Jens-Peter Kreiss

Publication date: 8 April 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12041

zbMATH Keywords

bootstrapleast squaresasymptotic properties of estimatorsrandom coefficient autoregressive time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (7)

Random autoregressive models: A structured overview ⋮ Simultaneous bootstrap for all three parameters in random coefficient autoregressive models ⋮ A first order continuous time <scp>VAR</scp> with random coefficients ⋮ Bootstrapping INAR models ⋮ Resolvent estimators for functional autoregressive processes with random coefficients ⋮ Testing for strict stationarity in a random coefficient autoregressive model ⋮ Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations

Cites Work

• Unnamed Item
• Unnamed Item
• On bootstrapping two-stage least-squares estimates in stationary linear models
• Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations
• Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
• Random coefficient autoregressive models: an introduction
• Bootstrap methods: another look at the jackknife
• Resampling methods for dependent data
• Adaptive estimation in a random coefficient autoregressive model
• Testing for parameter stability in \(RCA(1)\) time series
• Estimation in nonstationary random coefficient autoregressive models
• Estimation in Random Coefficient Autoregressive Models
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• Autoregressive series with random parameters
• √n‐CONSISTENT ESTIMATION IN A RANDOM COEFFICIENT AUTOREGRESSIVE MODEL
• Bootstrap Methods for Time Series

This page was built for publication: BOOTSTRAP FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS