Bootstrap tests when parameters of nonstationary time series models lie on the boundary of the parameter space

zbMath0956.62076MaRDI QIDQ1580832

Siem Jan Koopman, Reinaldo C. Souza, Glaura C. Franco

Publication date: 11 March 2001

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

zbMATH Keywords

bootstrap; Kalman filter; state space; unobserved components; time series models

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F40: Bootstrap, jackknife and other resampling methods