Simultaneous bootstrap for all three parameters in random coefficient autoregressive models

DOI10.1016/J.JKSS.2014.01.001MaRDI QIDQ397236zbMATH OpenOpenAlexFDO

Authors Thorsten Fink, Jens-Peter Kreiß

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)

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Cites work

• scientific article; zbMATH DE number 4018126 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 6026913 (Why is no real title available?)
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• Subsampling
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• √n‐CONSISTENT ESTIMATION IN A RANDOM COEFFICIENT AUTOREGRESSIVE MODEL

Cited in

(2)

• Random autoregressive models: a structured overview
• Bootstrap for random coefficient autoregressive models

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