Bootstrap in moving average models

DOI10.1007/BF02481148zbMath0721.62089MaRDI QIDQ2641053

Arup Bose

Publication date: 1990

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

zbMATH Keywords

invertibility conditionbootstrap approximationEdgeworth expansionsempirical distribution functionmoving average modelsCramér's conditionbootstrap principlesimulation studiesstationary autoregressions

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)

Related Items

Resampling time series using missing values techniques, Limit theory and bootstrap for explosive and partially explosive autoregression, Bootstrap Methods for Time Series, Testing for the presence of jump components in jump diffusion models, Bootstrapping Autoregression under Non-stationary Volatility, RESIDUAL-BASED GARCH BOOTSTRAP AND SECOND ORDER ASYMPTOTIC REFINEMENT, Forecasting vector autoregressions with mixed roots in the vicinity of unity, Shrinkage estimation of contemporaneous outliers in concurrent time serie, Bootstrapping time series models, Nonlinear ARMA models with functional MA coefficients, Tests for \(m\)-dependence based on sample splitting methods, Improvement of the quasi‐likelihood ratio test in ARMA models: some results for bootstrap methods, Bootstrap methods for dependent data: a review, Optimal change-point estimation in time series, Robustness of residual-based bootstrap to the composition of serially correlated errors, A radial basis function artificial neural network test for neglected nonlinearity, A radial basis function artificial neural network test for ARCH, Efficiency and robustness in subsampling for dependent data, Recent developments in bootstrapping time series

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On bootstrapping two-stage least-squares estimates in stationary linear models
• Bootstrapping explosive autoregressive processes
• Edgeworth corrected pivotal statistics and the bootstrap
• Edgeworth correction by bootstrap in autoregressions
• Theoretical comparison of bootstrap confidence intervals
• Estimated sampling distributions: The bootstrap and competitors
• On the asymptotic accuracy of Efron's bootstrap
• Bootstrap methods: another look at the jackknife
• Higher order approximations for autocovariances from linear processes with applications
• Asymptotic expansions for sums of weakly dependent random vectors