BOOTSTRAP FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS

DOI10.1111/jtsa.12041zbMath1306.62195OpenAlexW1947880883MaRDI QIDQ5408112

Thorsten Fink, Jens-Peter Kreiss

Publication date: 8 April 2014

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

Full work available at URL: https://doi.org/10.1111/jtsa.12041

zbMATH Keywords

bootstrapleast squaresasymptotic properties of estimatorsrandom coefficient autoregressive time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (7)

Random autoregressive models: A structured overview ⋮ Simultaneous bootstrap for all three parameters in random coefficient autoregressive models ⋮ A first order continuous time <scp>VAR</scp> with random coefficients ⋮ Bootstrapping INAR models ⋮ Resolvent estimators for functional autoregressive processes with random coefficients ⋮ Testing for strict stationarity in a random coefficient autoregressive model ⋮ Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations

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