Bootstrap in moving average models

DOI10.1007/BF02481148MaRDI QIDQ2641053zbMATH OpenFDO

Authors Arup Bose

Publication date 1990

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

zbMATH Keywords

empirical distribution functionEdgeworth expansionsinvertibility conditionbootstrap principlebootstrap approximationsimulation studiesmoving average modelsstationary autoregressionsCramér's condition

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3907556 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3782216 (Why is no real title available?)
• scientific article; zbMATH DE number 3517666 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• Asymptotic expansions for sums of weakly dependent random vectors
• Bootstrap methods: another look at the jackknife
• Bootstrapping explosive autoregressive processes
• Edgeworth corrected pivotal statistics and the bootstrap
• Edgeworth correction by bootstrap in autoregressions
• Estimated sampling distributions: The bootstrap and competitors
• Higher order approximations for autocovariances from linear processes with applications
• On bootstrapping two-stage least-squares estimates in stationary linear models
• On the asymptotic accuracy of Efron's bootstrap
• Theoretical comparison of bootstrap confidence intervals

Cited in

(23)

• A radial basis function artificial neural network test for neglected nonlinearity
• 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
• Optimal change-point estimation in time series
• Shrinkage estimation of contemporaneous outliers in concurrent time serie
• 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
• Bootstrap methods for dependent data: a review
• Nonlinear ARMA models with functional MA coefficients
• Bootstrapping moving average models
• Limit theory and bootstrap for explosive and partially explosive autoregression
• BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
• Tests for \(m\)-dependence based on sample splitting methods

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