Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models

DOI10.1111/JTSA.12573MaRDI QIDQ5001023zbMATH OpenOpenAlexFDO

Authors Paulo M. D. C. Parente, Richard J. Smith

Publication date 16 July 2021

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

Full work available at URL https://doi.org/10.1111/jtsa.12573

zbMATH Keywords

bootstrapheteroskedastic and autocorrelation consistent inferencequasi-maximum likelihood estimation

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(7)

• Maximum likelihood and the bootstrap for nonlinear dynamic models
• Bootstrap maximum likelihood for quasi-stationary distributions
• Structural identification of quadratic block-oriented models based on estimated Volterra kernels
• A block bootstrap for quasi-likelihood in sparse functional data
• Asymptotic refinements of nonparametric bootstrap for quasi-likelihood ratio tests for classes of extremum estimators
• A higher-order correct fast moving-average bootstrap for dependent data
• Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models

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