Overlapping subsampling and invariance to initial conditions

DOI10.1080/03610926.2014.999093MaRDI QIDQ2980116zbMATH OpenOpenAlexFDO

Authors Maria Kyriacou

Publication date 27 April 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://eprints.soton.ac.uk/337799/1/1203.pdf

zbMATH Keywords

autoregressionbiasjackknifemoving blocksrandom walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Jackknife estimation with a unit root
• Optimal jackknife for unit root models
• Subsampling unit root tests for heavy-tailed observations
• Minimizing the impact of the initial condition on testing for unit roots
• Theoretical comparisons of block bootstrap methods

Cites work

• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• Bootstrap methods: another look at the jackknife
• Folklore theorems, implicit maps, and indirect inference
• Jackknife estimation of stationary autoregressive models
• Jackknife estimation with a unit root
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• NOTES ON BIAS IN ESTIMATION
• Optimal jackknife for unit root models
• Testing For Unit Roots: 1
• The jackknife and the bootstrap for general stationary observations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Time Series Regression with a Unit Root
• Towards a unified asymptotic theory for autoregression

Cited in

(1)

• Optimal jackknife for unit root models

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