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Residual-based block bootstrap for unit root testingAAA
(2003)
A nonparametric, residual-based block boostrap procedure is proposed in the context of testing for integrated (unit root) time series. The resampling procedure is based on weak assumptions on the dependence structure of ...
Residual-based block bootstrap for unit root testing
(2003)
A nonparametric, residual-based block boostrap procedure is proposed in the context of testing for integrated (unit root) time series. The resampling procedure is based on weak assumptions on the dependence structure of ...
A Simple Information Theoretic Proof of the Maximum Entropy Property of Some Gaussian Random Fields
(1994)
A well known result of Burg and Kiinsch identifies a Gaussian Markov random field with autocovariances specified on a finite part L of the n-dimensional integer lattice, as the random field with maximum entropy among all ...
Nonparametric Maximum Entropy
(1993)
The standard maximum entropy method of Burg and the resulting autoregressive model has been widely applied for spectrum estimation and prediction. A generalization of the maximum entropy formalism in a nonparametric setting ...
Application of three bivariate time-varying volatility models
(2001)
The multivariate time-varying volatility models have recently attracted a lot of attention in the statistics/econometrics community. We apply two bivariate ARCH-GARCH models and a bivariate unobserved ARCH model to a series ...