VARIANCE ESTIMATION FOR SAMPLE AUTOCOVARIANCES: DIRECT AND RESAMPLING APPROACHES

DOI10.1111/J.1467-842X.1991.TB00410.XzbMATH Open1130.62314MaRDI QIDQ5451109FDOQ5451109

Authors: Clifford Hurvich, Jeffrey S. Simonoff, Scott L. Zeger 

Publication date: 18 March 2008

Published in: Australian Journal of Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (3)

• Resampling a nonlinear regression model in the frequency domain
• Resampling the autocovariance estimator in stationary gaussian processes
• A resampling method for regression models with serially correlated errors

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