Bootstrap in moving average models
DOI10.1007/BF02481148zbMATH Open0721.62089MaRDI QIDQ2641053FDOQ2641053
Authors: Arup Bose 
Publication date: 1990
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
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- A note on bootstrapping \(M\)-estimators in ARMA models
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empirical distribution functionEdgeworth expansionsinvertibility conditionbootstrap principlebootstrap approximationsimulation studiesmoving average modelsstationary autoregressionsCramér's condition
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Approximations to statistical distributions (nonasymptotic) (62E17)
Cites Work
- Bootstrap methods: another look at the jackknife
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- Edgeworth correction by bootstrap in autoregressions
- Theoretical comparison of bootstrap confidence intervals
- On the asymptotic accuracy of Efron's bootstrap
- Title not available (Why is that?)
- On bootstrapping two-stage least-squares estimates in stationary linear models
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- Edgeworth corrected pivotal statistics and the bootstrap
- Asymptotic expansions for sums of weakly dependent random vectors
- Title not available (Why is that?)
- Estimated sampling distributions: The bootstrap and competitors
- Bootstrapping explosive autoregressive processes
- Higher order approximations for autocovariances from linear processes with applications
Cited In (23)
- Recent developments in bootstrapping time series
- Residual-based GARCH bootstrap and second order asymptotic refinement
- Comparison of classical and Bayesian approaches for intervention analysis
- Improvement of the quasi‐likelihood ratio test in ARMA models: some results for bootstrap methods
- Bootstrapping time series models
- A radial basis function artificial neural network test for ARCH
- Efficiency and robustness in subsampling for dependent data
- Robustness of residual-based bootstrap to the composition of serially correlated errors
- Resampling time series using missing values techniques
- Overlapping batch confidence intervals on statistical functionals constructed from time series: application to quantiles, optimization, and estimation
- Shrinkage estimation of contemporaneous outliers in concurrent time serie
- Optimal change-point estimation in time series
- Bootstrapping Autoregression under Non-stationary Volatility
- Testing for the presence of jump components in jump diffusion models
- Bootstrap Methods for Time Series
- Forecasting vector autoregressions with mixed roots in the vicinity of unity
- Nonlinear ARMA models with functional MA coefficients
- Bootstrap methods for dependent data: a review
- Bootstrapping moving average models
- Limit theory and bootstrap for explosive and partially explosive autoregression
- BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
- A radial basis function artificial neural network test for neglected nonlinearity
- Tests for \(m\)-dependence based on sample splitting methods
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