HYBRID RESAMPLING CONFIDENCE INTERVALS FOR CHANGE-POINT OR STATIONARY HIGH-DIMENSIONAL STOCHASTIC REGRESSION MODELS

DOI10.5705/SS.202020.0439MaRDI QIDQ5072147OpenAlexFDO

Authors

Publication date 25 April 2022

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.202020.0439

zbMATH Keywords

sequential Monte Carlodouble block bootstrapchange-point ARX-GARCH modelscoverage probability of credible and confidence intervalshidden Markov models and particle filterssparsity and variable selection

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(1)

• A resampling approach for confidence intervals in linear time-series models after model selection

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