Simultaneous bootstrap for all three parameters in random coefficient autoregressive models

DOI10.1016/J.JKSS.2014.01.001zbMATH Open1306.62082OpenAlexW2038612832MaRDI QIDQ397236FDOQ397236

Jens-Peter Kreiß, Thorsten Fink

Publication date: 11 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2014.01.001

zbMATH Keywords

bootstrapquasi maximum likelihoodrandom coefficient autoregressionasymptotic properties of estimators

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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Cited In (1)

• Random autoregressive models: A structured overview

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