Banded and tapered estimates for autocovariance matrices and the linear process bootstrap

DOI10.1111/j.1467-9892.2010.00679.xzbMath1226.60052MaRDI QIDQ3103202

Timothy L. McMurry, Dimitris N. Politis

Publication date: 26 November 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://escholarship.org/uc/item/5h9259mb

zbMATH Keywords

bootstrap; stationary process; block bootstrap; sieve bootstrap; autocovariance matrix

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

60G10: Stationary stochastic processes

62G09: Nonparametric statistical resampling methods

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Uses Software

R
boot

Cites Work