Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm
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Publication:4221435
DOI10.1111/1467-9892.00107zbMath0913.62083OpenAlexW2067786996MaRDI QIDQ4221435
Publication date: 10 June 1999
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00107
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Probabilistic methods, stochastic differential equations (65C99)
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