Browsing by Subject "Sieve bootstrap"
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Article
Banded and tapered estimates for autocovariance matrices and the linear process bootstrap
(2010)We address the problem of estimating the autocovariance matrix of a stationary process. Under short range dependence assumptions, convergence rates are established for a gradually tapered version of the sample autocovariance ...
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Article
Hybrid bootstrap aided unit root testing
(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 ...