Martin Anděl (1991)
Applications of Mathematics
Similarity:
Conditions under which the linear process is non-negative are investigated in the paper. In the definition of the linear process a strict white noise is used. Explicit results are presented also for the models AR(1) and AR(2).
Zuzana Prášková (2002)
Kybernetika
Similarity:
The first-order autoregression model with heteroskedastic innovations is considered and it is shown that the classical bootstrap procedure based on estimated residuals fails for the least-squares estimator of the autoregression coefficient. A different procedure called wild bootstrap, respectively its modification is considered and its consistency in the strong sense is established under very mild moment conditions.