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Bootstrap order selection for SETAR models
(2015)
In this paper, we investigate the selecting performances of a bootstrapped version of the Akaike information criterion for nonlinear self-exciting threshold autoregressive-type data generating processes. Empirical results ...
Local block bootstrap inference for trending time series
(2013)
Resampling for stationary sequences has been well studied in the last couple of decades. In the paper at hand, we focus on nonstationary time series data where the nonstationarity is due to a slowly-changing deterministic ...
Bayesian analysis of the unobserved ARCH model
(2005)
The Unobserved ARCH model is a good description of the phenomenon of changing volatility that is commonly appeared in the financial time series. We study this model adopting Bayesian inference via Markov Chain Monte Carlo ...
A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
(2013)
We analyze fast procedures for conducting Monte Carlo experiments involving bootstrap estimators, providing formal results establishing the properties of these methods under general conditions. © 2012 Cambridge University Press.
Selected Works of Murray Rosenblatt
(Springer, 2011)
Local block bootstrap inference for trending time seriesAAA
(2013)
Resampling for stationary sequences has been well studied in the last couple of decades. In the paper at hand, we focus on nonstationary time series data where the nonstationarity is due to a slowly-changing deterministic ...
A generalized block bootstrap for seasonal time series
(2014)
When time-series data contain a periodic/seasonal component, the usual block bootstrap procedures are not directly applicable. We propose a modification of the block bootstrap - the generalized seasonal block bootstrap ...
Generalized seasonal tapered block bootstrapAAA
(2016)
In this paper a new block bootstrap method for periodic time series called Generalized Seasonal Tapered Block Bootstrap (GSTBB) is introduced. Consistency of the GSTBB for parameters associated with periodically correlated ...