dc.contributor.author | Paparoditis Efstathios, E. | en |
dc.contributor.author | Politis, Dimitris Nicolas | en |
dc.creator | Paparoditis Efstathios, E. | en |
dc.creator | Politis, Dimitris Nicolas | en |
dc.date.accessioned | 2019-12-02T10:37:38Z | |
dc.date.available | 2019-12-02T10:37:38Z | |
dc.date.issued | 2000 | |
dc.identifier.issn | 1133-0686 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/57458 | |
dc.description.abstract | The situation where the available data arise from a general AR(1) model is discussed, and two new avenues for constructing confidence intervals for the unknown autoregressive root are proposed, one based on a Central Limit Theorem, and the other based on the block-bootstrap. The two new methodologies rely on clever preprocessing of the original series, and are subsequently free of the difficulties present in previous methods that were due to data nonstationarity and/or discontinuity in the limit distribution in the case of a unit root. Some finite-sample simulations are also presented supporting the applicability of the proposed methods, and the problem of bootstrap block size choice is discussed. | en |
dc.source | Test | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-0347898681&partnerID=40&md5=f52e384eacb14fc63b1e2aa136a4607b | |
dc.subject | Unit root | en |
dc.subject | Stationarity | en |
dc.subject | Hypothesis tests | en |
dc.subject | Confidence intervals | en |
dc.subject | Resampling | en |
dc.subject | Bootstrap | en |
dc.title | Large-sample inference in the general AR(1) modelAAA | en |
dc.type | info:eu-repo/semantics/article | |
dc.description.volume | 9 | |
dc.description.issue | 2 | |
dc.description.startingpage | 487 | |
dc.description.endingpage | 509 | |
dc.author.faculty | Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences | |
dc.author.department | Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics | |
dc.type.uhtype | Article | en |
dc.description.notes | <p>Cited By :2</p> | en |
dc.source.abbreviation | Test | en |
dc.contributor.orcid | Paparoditis Efstathios, E. [0000-0003-1958-781X] | |
dc.gnosis.orcid | 0000-0003-1958-781X | |