Inconsistency of bootstrap for nonstationary, vector autoregressive processes
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Publication:2575555
DOI10.1016/j.spl.2005.05.020zbMath1123.62062OpenAlexW2003570730MaRDI QIDQ2575555
Publication date: 5 December 2005
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: http://repository.ust.hk/ir/bitstream/1783.1-2742/1/BootVAR4.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Brownian motion (60J65)
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Cites Work
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