Bootstrap choice of non-nested autoregressive model with non-normal innovations

DOI10.1515/MCMA-2023-2010MaRDI QIDQ6073727zbMATH OpenOpenAlexFDO

Authors Sedigheh Zamani Mehreyan

Publication date 18 September 2023

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma-2023-2010

zbMATH Keywords

autoregressive modelmodel selectionmodified maximum likelihoodmoving blocking bootstraptracking interval

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(1)

• Bootstrap inference for nearly nonstationary autoregressive models with heavy-tailed innovations

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