Bootstrapping continuous-time autoregressive processes

DOI10.1007/S10463-013-0406-0zbMATH Open1281.62192OpenAlexW2170778413MaRDI QIDQ2434136FDOQ2434136

Authors: Peter J. Brockwell, Jens-Peter Kreiß, Tobias Niebuhr 

Publication date: 17 February 2014

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-013-0406-0

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zbMATH Keywords

bootstrapautocovarianceCARMA processesLévy process

Mathematics Subject Classification ID

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

Cites Work

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• The jackknife and the bootstrap for general stationary observations
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• Title not available (Why is that?)
• Existence and uniqueness of stationary Lévy-driven CARMA processes
• BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
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• Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
• ON EMBEDDING A DISCRETE-PARAMETER ARMA MODEL IN A CONTINUOUS-PARAMETER ARMA MODEL
• A NOTE ON EMBEDDING A DISCRETE PARAMETER ARMA MODEL IN A CONTINUOUS PARAMETER ARMA MODEL
• Continuous-time ARMA processes
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• The Elementary Gaussian Processes
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• THE ESTIMATION OF PARAMETERS IN SYSTEMS OF STOCHASTIC DIFFERENTIAL EQUATIONS
• Lévy–Driven Continuous–Time ARMA Processes
• The multiple hybrid bootstrap -- resampling multivariate linear processes
• Asymptotic normality of spectral estimates
• A NOTE ON THE EMBEDDING OF DISCRETE‐TIME ARMA PROCESSES
• High-frequency sampling of a continuous-time ARMA process
• Embedding a Gaussian discrete‐time autoregressive moving average process in a Gaussian continuous‐time autoregressive moving average process

Cited In (3)

• Bootstrapping unstable first order autoregressive process with errors in the domain of attraction of stable law
• Recent results in the theory and applications of CARMA processes
• Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes

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