VARIANCE ESTIMATION FOR SAMPLE AUTOCOVARIANCES: DIRECT AND RESAMPLING APPROACHES

DOI10.1111/J.1467-842X.1991.TB00410.XMaRDI QIDQ5451109zbMATH OpenFDO

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)

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

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