Properties of the nonparametric autoregressive bootstrap

DOI10.1111/1467-9892.00278MaRDI QIDQ4677009zbMATH OpenOpenAlexFDO

Authors Jürgen Franke, Enno Mammen, Michael H. Neumann, Jens-Peter Kreiß

Publication date 20 May 2005

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://archiv.ub.uni-heidelberg.de/volltextserver/20796/1/beitrag.52.pdf

zbMATH Keywords

bootstrapconsistencycouplinggeometric ergodicitynonparametric autoregression

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• Markov chains and stochastic stability
• Mixing: Properties and examples
• Regression-type inference in nonparametric autoregression
• Strong approximation of density estimators from weakly dependent observations by density estimators from independent observations
• Subsampling for heteroskedastic time series

Cited in

(17)

• Neural networks for bandwidth selection in local linear regression of time series
• Bootstrapping nonparametric estimators of the volatility function.
• Regression-type inference in nonparametric autoregression
• Strong approximation of density estimators from weakly dependent observations by density estimators from independent observations
• The local bootstrap for Markov processes
• Testing for the presence of jump components in jump diffusion models
• Estimating change points in nonparametric time series regression models
• Kernel estimates of nonparametric functional autoregression models and their bootstrap approximation
• Inconsistency of bootstrap for nonstationary, vector autoregressive processes
• Properties of the neural network sieve bootstrap
• Semiparametric diffusion estimation and application to a stock market index
• Bootstrap Methods for Time Series
• Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model
• Bootstrap with larger resample size for root-\(n\) consistent density estimation with time series data
• Bootstrap prediction inference of nonlinear autoregressive models
• Bootstrap methods for dependent data: a review
• Estimation of nonlinear autoregressive models using design-adapted wavelets

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