A contribution to bootstrapping autoregressive processes

Zuzana Prášková

Kybernetika (1995)

  • Volume: 31, Issue: 4, page 359-373
  • ISSN: 0023-5954

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Prášková, Zuzana. "A contribution to bootstrapping autoregressive processes." Kybernetika 31.4 (1995): 359-373. <http://eudml.org/doc/27837>.

@article{Prášková1995,
author = {Prášková, Zuzana},
journal = {Kybernetika},
keywords = {time-delayed observations; autoregressive process; sample mean; approximation; Edgeworth expansion; bootstrap distribution; studentized statistics},
language = {eng},
number = {4},
pages = {359-373},
publisher = {Institute of Information Theory and Automation AS CR},
title = {A contribution to bootstrapping autoregressive processes},
url = {http://eudml.org/doc/27837},
volume = {31},
year = {1995},
}

TY - JOUR
AU - Prášková, Zuzana
TI - A contribution to bootstrapping autoregressive processes
JO - Kybernetika
PY - 1995
PB - Institute of Information Theory and Automation AS CR
VL - 31
IS - 4
SP - 359
EP - 373
LA - eng
KW - time-delayed observations; autoregressive process; sample mean; approximation; Edgeworth expansion; bootstrap distribution; studentized statistics
UR - http://eudml.org/doc/27837
ER -

References

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  1. T. W. Anderson, The Statistical Analysis of Time Series, Mir, Moscow 1976 (Russian translation). (1976) 
  2. G. J. Babu, K. Singh, On one term Edgeworth correction by Efron's bootstrap, Sankhyã Ser. A 46 (1984), 219-232. (1984) Zbl0568.62019MR0778872
  3. I. V. Basawa A. K. Mallik W. P. McCormick, R. L. Taylor, Bootstrapping expłosive autoregressive processes, Ann. Statist. 17 (1989), 1479-1486. (1989) MR1026294
  4. R. N. Bhattacharya, Ranga R. Rao, Normał Approximation and Asymptotic Expansions, Nauka, Moscow 1982 (Russian translation). (1982) Zbl0514.41002MR0702344
  5. P. J. Bickel, D. A. Freedman, Some asymptotic theory for the bootstrap, Ann. Statist. 9 (1981), 1196-1217. (1981) Zbl0449.62034MR0630103
  6. A. Bose, Edgeworth correction by bootstrap in autoregressions, Ann. Statist. 16 (1988), 1709-1722. (1988) Zbl0653.62016MR0964948
  7. P. J. Brockwell, R. A. Davis, Time Series: Theory and Methods, Springer-Verlag, New York 1987. (1987) Zbl0604.62083MR0868859
  8. D. Freedman, On bootstrapping two-stage least-squares estimates in stationary linear models, Ann. Statist. 12 (1984), 827-842. (1984) Zbl0542.62051
  9. W. A. Fuller, Introduction to Statistical Time Series, Wiley, New York - Toronto 1976. (1976) Zbl0353.62050MR0448509
  10. F. Götze, C. Hipp, Asymptotic expansions for sums of weakly dependent random vectors, Z. Wahrsch. verw. Gebiete 64 (1983), 211-239. (1983) 
  11. E. J. Hannan, Multivariate Time Series, Wiley, New York 1970. (1970) 
  12. J.-P. Kreiss, J. Franke, Bootstrapping stationary autoregressive moving-average models, J. Time Ser. Anal. 13 (1992), 297-317. (1992) Zbl0787.62092
  13. E. Paparoditis, B. Streitberg, Order identification statistics in stationary autoregressive moving-average models: vector autocorrelations and the bootstrap, J.Time Ser. Anal. 5 (1991), 415-434. (1991) 
  14. Z. Prášková, Empirical Edgeworth expansion and bootstrap in AR(1) models, In: Trans. of the Eleventh Prague Conference (S. Kubík and J. Á. Víšek, eds.), Academia, Prague 1992, pp. 281-293. (1992) Zbl0764.60039

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