Optimal jackknife for unit root models

DOI10.1016/j.spl.2014.12.014zbMath1396.62200OpenAlexW2076138960MaRDI QIDQ2344879

Ye Chen, Jun Yu

Publication date: 18 May 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1866

zbMATH Keywords

bias reductionvariance reductionjackknifeautoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (3)

Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach ⋮ Efficient VaR and CVaR Measurement via Stochastic Kriging ⋮ Overlapping subsampling and invariance to initial conditions

Cites Work

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• Towards a unified asymptotic theory for autoregression
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