Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models
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Publication:5001023
DOI10.1111/jtsa.12573zbMath1469.62346OpenAlexW3124918365MaRDI QIDQ5001023
Paulo M. D. C. Parente, Richard J. Smith
Publication date: 16 July 2021
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12573
bootstrapquasi-maximum likelihood estimationheteroskedastic and autocorrelation consistent inference
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)
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A higher-order correct fast moving-average bootstrap for dependent data ⋮ Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models
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