Bootstrap Confidence Regions Computed from Autoregressions of Arbitrary Order

DOI10.1111/1467-9868.00244MaRDI QIDQ4505995zbMATH OpenOpenAlexFDO

Authors Edwin Choi, Peter Hall

Publication date 23 November 2000

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9868.00244

zbMATH Keywords

Akaike's information criterionautoregressive bootstrapblock bootstrapcalibrationcoverage accuracydouble bootstrapEdgeworth expansionmoving averagepercentile methodpercentile t methodsecond-order accuracysieve bootstrapstudentization

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Properties of a block bootstrap under long-range dependence
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• Consistency of a hybrid block bootstrap for distribution and variance estimation for sample quantiles of weakly dependent sequences
• A Bootstrap Test for Symmetry of Dependent Data Based on a Kolmogorov–Smirnov Type Statistic
• Bootstrap Methods for Time Series
• Improved seasonal Mann-Kendall tests for trend analysis in water resources time series
• Nonparametric confidence intervals for location in time series data
• Normality tests for dependent data: large-sample and bootstrap approaches
• Bias correction of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap
• Residual-based GARCH bootstrap and second order asymptotic refinement
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• The impact of bootstrap methods on time series analysis
• Bootstrap rank tests for trend in time series
• On the range of validity of the autoregressive sieve bootstrap
• Bootstrap methods for dependent data: a review
• Computational framework for longevity risk management

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