| Title:
|
Bootstrap in nonstationary autoregression (English) |
| Author:
|
Prášková, Zuzana |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
38 |
| Issue:
|
4 |
| Year:
|
2002 |
| Pages:
|
[389]-404 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
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. (English) |
| MSC:
|
62F40 |
| MSC:
|
62G09 |
| MSC:
|
62M10 |
| idZBL:
|
Zbl 1264.62072 |
| idMR:
|
MR1937136 |
| . |
| Date available:
|
2009-09-24T19:47:10Z |
| Last updated:
|
2015-03-25 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135473 |
| . |
| Reference:
|
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| Reference:
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