Bootstrapping periodically autoregressive models

DOI10.1051/PS/2017017MaRDI QIDQ4578059zbMATH OpenOpenAlexFDO

Authors Gabriela Ciołek, Paweł Potorski

Publication date 7 August 2018

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1051/ps/2017017

zbMATH Keywords

bootstraptime seriesleast squares estimationperiodically autoregressive models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 854585 (Why is no real title available?)
• scientific article; zbMATH DE number 3336457 (Why is no real title available?)
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• On periodic and multiple autoregressions
• Recursive prediction and likelihood evaluation for periodic ARMA models
• Resampling a coverage pattern
• Resampling methods for dependent data
• The bootstrap and Edgeworth expansion
• The jackknife and the bootstrap for general stationary observations
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Time series with periodic structure

Cited in

(3)

• Addendum to ``Bootstrapping periodogram and cross periodogram statistics of vector autoregressive moving average models
• Bootstrap for random coefficient autoregressive models
• Bootstrap choice of non-nested autoregressive model with non-normal innovations

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