VARIANCE ESTIMATION FOR SAMPLE AUTOCOVARIANCES: DIRECT AND RESAMPLING APPROACHES

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Publication:5451109

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DOI10.1111/J.1467-842X.1991.TB00410.XzbMath1130.62314MaRDI QIDQ5451109

Scott L. Zeger, Jeffrey S. Simonoff, Clifford M. Hurvich

Publication date: 18 March 2008

Published in: Australian Journal of Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (3)

Resampling a nonlinear regression model in the frequency domain ⋮ Resampling the autocovariance estimator in stationary gaussian processes ⋮ A resampling method for regression models with serially correlated errors

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