Bootstrapping continuous-time autoregressive processes

DOI10.1007/S10463-013-0406-0MaRDI QIDQ2434136zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• ON EMBEDDING A DISCRETE-PARAMETER ARMA MODEL IN A CONTINUOUS-PARAMETER ARMA MODEL
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Cited in

(3)

• Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
• 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

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