Browsing by Author "Jentsch, C."

Now showing items 1-3 of 3

    • Article  

      Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes 

      Jentsch, C.; Politis, Dimitris Nicolas; Paparoditis Efstathios, E. (2015)
      We develop some asymptotic theory for applications of block bootstrap resampling schemes to multivariate integrated and cointegrated time series. It is proved that a multivariate, continuous-path block bootstrap scheme ...
    • Article  

      Hybrid bootstrap aided unit root testing 

      Jentsch, C.; Kreiss, J. -P; Mantalos, Panagiotis; Paparoditis Efstathios, E. (2012)
      In this paper, we propose a hybrid bootstrap procedure for augmented Dickey-Fuller (ADF) tests for the presence of a unit root. This hybrid proposal combines a time domain parametric autoregressive fit to the data and a ...
    • Article  

      Valid resampling of higher-order statistics using the linear process bootstrap and autoregressive sieve bootstrap 

      Jentsch, C.; Politis, Dimitris Nicolas (2013)
      We show that the linear process bootstrap (LPB) and the autoregressive sieve bootstrap (AR sieve) are, in general, not valid for statistics whose large-sample distribution depends on moments of order higher than two, ...