Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model

DOI10.1111/j.1467-9892.2010.00699.xzbMath1290.62077OpenAlexW2118640775MaRDI QIDQ4979109

Dong Wan Shin, Eun-Ju Hwang

Publication date: 16 June 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00699.x

zbMATH Keywords

nonlinear autoregressive processnonparametric kernel estimatorstationary bootstrap procedure

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (5)

Stationary bootstrapping for semiparametric panel unit root tests ⋮ Stationary bootstrapping realized volatility ⋮ Stationary bootstrapping realized volatility under market microstructure noise ⋮ Strong consistency of the stationary bootstrap under \(\psi\)-weak dependence ⋮ Weak convergence for stationary bootstrap empirical processes of associated sequences

Uses Software

• PearsonT

Cites Work

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