Bootstrap estimates of the sample bivariate autocorrelation and partial autocorrelation distributions

DOI10.1080/00949659308811505MaRDI QIDQ5287325zbMATH OpenOpenAlexFDO

Authors N. Josephy, Amir D. Aczel, H. R. Künsch

Publication date 23 August 1993

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949659308811505

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Cites work

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• A new look at the statistical model identification
• Bootstrap methods: another look at the jackknife
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• ESTIMATING VARIANCES AND COVARIANCES OF SAMPLE AUTOCORRELATIONS AND AUTOCOVARIANCES
• Further Contributions to the Problem of Serial Correlation
• Note on the Distribution of the Serial Correlation Coefficient
• On the asymptotic accuracy of Efron's bootstrap
• The jackknife and the bootstrap for general stationary observations
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Time series: theory and methods

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