Displaying similar documents to “Bootstrap in nonstationary autoregression”

Wild bootstrap in RCA(1) model

Zuzana Prášková (2003)

Kybernetika

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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.

Estimation of variances in a heteroscedastic RCA(1) model

Hana Janečková (2002)

Kybernetika

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The paper concerns with a heteroscedastic random coefficient autoregressive model (RCA) of the form X t = b t X t - 1 + Y t . Two different procedures for estimating σ t 2 = E Y t 2 , σ b 2 = E b t 2 or σ B 2 = E ( b t - E b t ) 2 , respectively, are described under the special seasonal behaviour of σ t 2 . For both types of estimators strong consistency and asymptotic normality are proved.