Relative errors for bootstrap approximations of the serial correlation coefficient

DOI10.1214/13-AOS1111MaRDI QIDQ355131zbMATH OpenOpenAlexFDO

Authors Chris Field, John Robinson

Publication date 24 July 2013

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1306.1324, https://projecteuclid.org/euclid.aos/1369836969

zbMATH Keywords

autoregressionsaddle-point approximations

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09)

Abstract: We consider the first serial correlation coefficient under an AR(1) model where errors are not assumed to be Gaussian. In this case it is necessary to consider bootstrap approximations for tests based on the statistic since the distribution of errors is unknown. We obtain saddle-point approximations for tail probabilities of the statistic and its bootstrap version and use these to show that the bootstrap tail probabilities approximate the true values with given relative errors, thus extending the classical results of Daniels [Biometrika 43 (1956) 169-185] for the Gaussian case. The methods require conditioning on the set of odd numbered observations and suggest a conditional bootstrap which we show has similar relative error properties.

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Cites work

• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• Edgeworth correction by bootstrap in autoregressions
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Relative errors for bootstrap approximations of the serial correlation coefficient
• Saddlepoint Approximation for the Distribution of a Ratio of Quadratic Forms in Normal Variables
• Saddlepoint approximation for the least squares estimator in first-order autoregression
• THE APPROXIMATE DISTRIBUTION OF SERIAL CORRELATION COEFFICIENTS

Cited in

(4)

• Saddlepoint approximations for short and long memory time series: a frequency domain approach
• More accurate, calibrated bootstrap confidence intervals for estimating the correlation between two time series
• Relative errors for bootstrap approximations of the serial correlation coefficient
• Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation

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