| Title:
|
Wild bootstrap in RCA(1) model (English) |
| Author:
|
Prášková, Zuzana |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
39 |
| Issue:
|
1 |
| Year:
|
2003 |
| Pages:
|
[1]-12 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
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. (English) |
| Keyword:
|
randomcoefficient autoregression |
| Keyword:
|
heteroskedasticity |
| Keyword:
|
wild bootstrap |
| MSC:
|
62E20 |
| MSC:
|
62G09 |
| MSC:
|
62M10 |
| idZBL:
|
Zbl 1248.62155 |
| idMR:
|
MR1980120 |
| . |
| Date available:
|
2009-09-24T19:50:39Z |
| Last updated:
|
2015-03-23 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135504 |
| . |
| Reference:
|
[1] Anděl J.: Autoregressive series with random parameters.Math. Operationsforch. Statist. 7 (1976), 735–741 MR 0428649, 10.1080/02331887608801334 |
| Reference:
|
[2] Davidson J.: Stochastic Limit Theory.Oxford University Press, New York 1994 Zbl 0904.60002, MR 1430804 |
| Reference:
|
[3] Janečková H.: Time Series with Changing Parameters.Ph.D. Thesis, Charles University, Prague 2002 |
| Reference:
|
[4] Janečková H.: Some generalizations in a heteroscedastic RCA(1) model.Acta Univ. Carolin. – Math. Phys. 43 (2002), 21–47 Zbl 1186.62107, MR 1959860 |
| Reference:
|
[5] Jürgens U.: The estimation of a random coefficient AR(1) process under moment conditions.Statist. Hefte 16 (1985), 237–249 Zbl 0573.62086, MR 0861799, 10.1007/BF02932535 |
| Reference:
|
[6] Kreiss J. P.: Asymptotical properties of residual bootstrap for autoregression.Preprint, TU Braunschweig 1997 |
| Reference:
|
[7] Liu R. Y.: Bootstrap procedures under some non-i.i.d. models. Ann. Statist. 16 (1988), 1696–1708 Zbl 0655.62031, MR 0964947 |
| Reference:
|
[8] Nicolls D. F., Quinn B. G.: Random Coefficient Autoregressive Models: An Introduction (Lecture Notes in Statistics 11).Springer–Verlag, New York 1982 MR 0671255 |
| Reference:
|
[9] Prášková Z.: Bootstrapping in nonstationary autoregression.Kybernetika 38 (2002), 389–404 MR 1937136 |
| . |
