A Generalised Fractional Differencing Bootstrap for Long Memory Processes

DOI10.1111/jtsa.12460zbMath1432.62301OpenAlexW2918878969MaRDI QIDQ5226143

A. M. Robert Taylor, Fotis Papailias, George Kapetanios

Publication date: 30 July 2019

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

Full work available at URL: http://repository.essex.ac.uk/24122/1/boot-long-180219.pdf

zbMATH Keywords

resamplingfractional integrationfractional differencing bootstrap

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Fractional derivatives and integrals (26A33) Fractional partial differential equations (35R11)

Related Items (2)

Monitoring mean and variance change-points in long-memory time series ⋮ Robust testing for explosive behavior with strongly dependent errors

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