heteroskedasticitytime seriessubsamplingmoving blocks bootstrapcentral limit theorem for triangular arrays
Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15)
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Cites work
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- A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
- A general resampling scheme for triangular arrays of -mixing random variables with application to the problem of spectral density estimation
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- Block length selection in the bootstrap for time series
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- Bootstrap procedures under some non-i.i.d. models
- Bootstrapping regression models
- Calibrating Confidence Coefficients
- Contributions to Central Limit Theory for Dependent Variables
- Edgeworth correction by bootstrap in autoregressions
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- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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- Mixing: Properties and examples
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- On bootstrapping kernel spectral estimates
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- On the asymptotic accuracy of Efron's bootstrap
- Some Limit Theorems for Random Functions. I
- Some Limit Theorems for Stationary Processes
- The Invariance Principle for Stationary Processes
- The Stationary Bootstrap
- The bootstrap and Edgeworth expansion
- The jackknife and the bootstrap for general stationary observations
- The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
- The pricing of options and corporate liabilities
- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
Cited in
(28)- Detecting business cycle asymmetries using artificial neural networks and time series models
- Tests of random walk: A comparison of bootstrap approaches
- Maximum likelihood and the bootstrap for nonlinear dynamic models
- Large sample theory for statistics of stable moving averages
- Quenched law of large numbers and quenched central limit theorem for multiplayer leagues with ergodic strengths
- Bootstrapping the Box-Pierce Q test: a robust test of uncorrelatedness
- Subsampling weakly dependent time series and application to extremes
- Coverage bound for fixed-\(b\) subsampling and generalized subsampling for time series
- A WILD BOOTSTRAP FOR DEPENDENT DATA
- Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability
- Improved nonparametric confidence intervals in time series regressions
- Subsampling high frequency data
- On the asymptotic theory of subsampling
- The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
- An alternative bootstrap to moving blocks for time series regression models
- Inference without smoothing for large panels with cross-sectional and temporal dependence
- Comment on: Subsampling weakly dependent time series and application to extremes
- Bootstrap prediction inference of nonlinear autoregressive models
- Theoretical Measures of Relative Performance of Classifiers for High Dimensional Data with Small Sample Sizes
- Comparison of stationary time series using distribution-free methods
- Valid hypothesis testing in face of spatially dependent data using multi-layer perceptrons and sub-sampling techniques
- Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers
- A general central limit theorem for strong mixing sequences
- Empirical likelihood confidence intervals for dependent duration data
- Subsampling inference for the mean of heavy-tailed long-memory time series
- Wild bootstrapping variance ratio tests
- Exact asymptotics for estimating the marginal density of discretely observed diffusion proc\-esses
- Properties of the nonparametric autoregressive bootstrap
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