Bootstrapping explosive autoregressive processes

DOI10.1214/aos/1176347376zbMath0694.62038OpenAlexW2059871948MaRDI QIDQ909398

William P. McCormick, Ishwar V. Basawa, Robert Lee Taylor, Ashim K. Mallik

Publication date: 1989

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347376

zbMATH Keywords

simulationnonstationary processesleast squares estimatebootstrap estimatesexplosive first-order autoregressive processnonnormal limit distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

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