Bootstrapping explosive autoregressive processes

DOI10.1214/AOS/1176347376MaRDI QIDQ909398zbMATH OpenOpenAlexFDO

Authors W. P. McCormick, I. V. Basawa, Ashim K. Mallik, Robert L. Taylor

Publication date 1989

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176347376

zbMATH Keywords

simulationnonstationary processesleast squares estimatebootstrap estimatesexplosive first-order autoregressive processnonnormal limit distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

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Cited in

(24)

• Estimation of the offspring mean in a supercritical or near-critical size-dependent branching process
• Recent developments in bootstrapping time series
• Bootstrap unit root tests in models with GARCH(1,1) errors
• Bootstrapping time series models
• Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression
• Efficiency and robustness in subsampling for dependent data
• Bootstrap in moving average models
• Analysis of crack growth with robust, distribution-free estimators and tests for non-stationary autoregressive processes
• Bootstrapping general first order autoregression
• Nonparametric prediction intervals for explosive ar(1)-processes
• A modified bootstrap for autoregression without stationarity
• Tests based on simplicial depth for AR(1) models with explosion
• Large sample estimation in nonstationary autoregressive processes with multiple observations
• On asymptotic properties of bootstrap for AR(1) processes
• scientific article; zbMATH DE number 4072126 (Why is no real title available?)
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors
• Confidence intervals based on estimators with unknown rates of convergence
• A modified bootstrap for branching processes with immigration
• On bootstrapping regressions with unit root processes
• scientific article; zbMATH DE number 958378 (Why is no real title available?)
• Bootstrap in nonstationary autoregression.
• On the moving block bootstrap under long range dependence
• Limit theory and bootstrap for explosive and partially explosive autoregression

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