Wild bootstrap in RCA(1) model
Kybernetika (2003)
- Volume: 39, Issue: 1, page [1]-12
- ISSN: 0023-5954
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topPrášková, Zuzana. "Wild bootstrap in RCA(1) model." Kybernetika 39.1 (2003): [1]-12. <http://eudml.org/doc/33618>.
@article{Prášková2003,
abstract = {In the paper, a heteroskedastic autoregressive process of the first order is considered where the autoregressive parameter is random and errors are allowed to be non-identically distributed. Wild bootstrap procedure to approximate the distribution of the least-squares estimator of the mean of the random parameter is proposed as an alternative to the approximation based on asymptotic normality, and consistency of this procedure is established.},
author = {Prášková, Zuzana},
journal = {Kybernetika},
keywords = {randomcoefficient autoregression; heteroskedasticity; wild bootstrap; random coefficient autoregression; heteroskedasticity},
language = {eng},
number = {1},
pages = {[1]-12},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Wild bootstrap in RCA(1) model},
url = {http://eudml.org/doc/33618},
volume = {39},
year = {2003},
}
TY - JOUR
AU - Prášková, Zuzana
TI - Wild bootstrap in RCA(1) model
JO - Kybernetika
PY - 2003
PB - Institute of Information Theory and Automation AS CR
VL - 39
IS - 1
SP - [1]
EP - 12
AB - In the paper, a heteroskedastic autoregressive process of the first order is considered where the autoregressive parameter is random and errors are allowed to be non-identically distributed. Wild bootstrap procedure to approximate the distribution of the least-squares estimator of the mean of the random parameter is proposed as an alternative to the approximation based on asymptotic normality, and consistency of this procedure is established.
LA - eng
KW - randomcoefficient autoregression; heteroskedasticity; wild bootstrap; random coefficient autoregression; heteroskedasticity
UR - http://eudml.org/doc/33618
ER -
References
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