Parametric bootstrap confidence intervals for linear regression processes with long-memory errors
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Publication:3580840
zbMATH Open1193.62153MaRDI QIDQ3580840FDOQ3580840
Authors: Mosisa Aga, Tze-Chien Sun 
Publication date: 13 August 2010
Recommendations
- Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
- Confidence intervals for long memory regressions
- Bootstrap approaches for estimation and confidence intervals of long memory processes
- Higher-order improvements of the parametric bootstrap for Markov processes
- Using the bootstrap for finite sample confidence intervals of the log periodogram regression
Gaussian processesmaximum likelihood estimatordelta methodEdgeworth expansionsplug-in likelihood function
Bootstrap, jackknife and other resampling methods (62F40) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25)
Cited In (11)
- Using the bootstrap for finite sample confidence intervals of the log periodogram regression
- Parametric bootstrap inference in bilinear models.
- Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
- Parametric inference in stationary time series models with dependent errors
- Bootstrap approaches for estimation and confidence intervals of long memory processes
- Improved nonparametric confidence intervals in time series regressions
- Improved interval estimation of long run response from a dynamic linear model: a highest density region approach
- Higher-order improvements of the parametric bootstrap for Markov processes
- Fast Bootstrap Confidence Intervals for Continuous Threshold Linear Regression
- Bootstrap methods for bias correction and confidence interval estimation for nonlinear quantile regression of longitudinal data
- Confidence intervals for long memory regressions
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