Bootstrap in Markov-sequences based on estimates of transition density

DOI10.1007/BF00050835zbMATH Open0714.62036MaRDI QIDQ751111FDOQ751111

M. B. Rajarshi

Publication date: 1990

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

variance estimationsimulation resultsbootstrap estimatekernel estimates of the transition densityMarkov-sequencesmean-like statisticsvon Mises differentiable statistics

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Nonparametric statistical resampling methods (62G09)

Cites Work

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• On bootstrapping two-stage least-squares estimates in stationary linear models
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• A NOTE ON A MARKOV BILINEAR STOCHASTIC PROCESS IN DISCRETE TIME
• Asymptotic expansions for sums of weakly dependent random vectors
• The bootstrap: Some large sample theory and connections with robustness
• On the Convergence Rate in the Central Limit Theorem for Weakly Dependent Random Variables
• Estimated sampling distributions: The bootstrap and competitors
• Convergence of empirical processes of mixing rv's on \([0,1]\)
• Inference on means using the bootstrap

Cited In (31)

• Bootstrapping stationary sequences by the Nadaraya-Watson regression estimator
• Relevant states and memory in Markov chain bootstrapping and simulation
• Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations
• Algorithm for calculation of joint distribution of bootstrap sample elements
• Rejoinder -- Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
• A Goodness‐of‐Fit Test for Integer‐Valued Autoregressive Processes
• Estimation and bootstrap for stochastically monotone Markov processes
• Regeneration-based bootstrap for Markov chains
• Renewal type bootstrap for Markov chains
• Posterior consistency of Dirichlet mixtures for estimating a transition density
• Bootstraps for time series
• Approximate regenerative-block bootstrap for Markov chains
• Finite-sample properties of the bootstrap estimator in a Markov-switching model
• Financial crashes as endogenous jumps: estimation, testing and forecasting
• Bootstrap prediction intervals for Markov processes
• Testing for the presence of jump components in jump diffusion models
• Bootstrap Methods for Time Series
• The local bootstrap for Markov processes
• Approximating multivariate Markov chains for bootstrapping through contiguous partitions
• On a nonparametric resampling scheme for Markov random fields
• Bootstrapping the autocorrelation coefficient of finite Markov chains
• Bootstrap methods for dependent data: a review
• Confidence intervals based on estimators with unknown rates of convergence
• Renewal type bootstrap for increasing degree \(U\)-process of a Markov chain
• Texture synthesis and nonparametric resampling of random fields
• Bootstrap confidence intervals for conditional density function in Markov processes
• On the moving block bootstrap under long range dependence
• The impact of bootstrap methods on time series analysis
• Variable length Markov chains
• International market links and volatility transmission
• Bootstrap-based ARMA order selection

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