Weak convergence of a Dirichlet-multinomial process.
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Wild bootstrap in RCA(1) model
Zuzana Prášková (2003)
Kybernetika
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.
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