Browsing Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics by Subject "Infinite order vector autoregressions"
Now showing items 1-1 of 1
-
Article
Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
(1996)We consider an r-dimensional multivariate time series {yt, t∈Z} which is generated by an infinite order vector autoregressive process. We show that a bootstrap procedure which works by generating time series replicates via ...