Relative errors for bootstrap approximations of the serial correlation coefficient

DOI10.1214/13-AOS1111zbMath1360.62203arXiv1306.1324OpenAlexW3106418448MaRDI QIDQ355131

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

zbMATH Keywords

saddle-point approximationsautoregression

Mathematics Subject Classification ID

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

Related Items (2)

Relative errors for bootstrap approximations of the serial correlation coefficient ⋮ Saddlepoint approximations for short and long memory time series: a frequency domain approach

Cites Work

• Relative errors for bootstrap approximations of the serial correlation coefficient
• Edgeworth correction by bootstrap in autoregressions
• THE APPROXIMATE DISTRIBUTION OF SERIAL CORRELATION COEFFICIENTS
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• 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

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