Bootstrap Inference for a First-Order Autoregression with Positive Innovations

DOI10.2307/2291519MaRDI QIDQ3128745zbMATH OpenOpenAlexFDO

Authors Somnath Datta, W. P. McCormick

Publication date 11 August 1997

Full work available at URL https://doi.org/10.2307/2291519

zbMATH Keywords

bias correctionbootstrapconfidence intervalcontinuous convergence resultextreme value estimatorfirst-order autoregressive sequencepoint processespositive AR(1) processesregular variation

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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Cited in

(11)

• A tail bootstrap procedure for estimating the tail Pareto-index
• Bootstrap of minimum distance estimators in regression with correlated disturbances
• Consistency of the jackknife-after-bootstrap variance estimator for the bootstrap quantiles of a Studentized statistic
• Stochastically optimal bootstrap sample size for shrinkage-type statistics
• General \(M\)-estimator processes and their \(m\) out of \(n\) bootstrap with functional nuisance parameters
• Estimation for non-negative time series with heavy-tail innovations
• Interval estimation for a first-order positive autoregressive process
• Subsampling to Enhance Efficiency in Input Uncertainty Quantification
• Linear programming-based estimators in simple linear regression
• Bootstrap methods for dependent data: a review
• Regularization in statistics

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