Bose, Arup (1990) Bootstrap in moving average models Annals of the Institute of Statistical Mathematics, 42 (4). pp. 753-768. ISSN 0020-3157
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Official URL: http://www.springerlink.com/content/tv2207430p8531...
Related URL: http://dx.doi.org/10.1007/BF02481148
Abstract
We prove that the bootstrap principle works very well in moving average models, when the parameters satisfy the invertibility condition, by showing that the bootstrap approximation of the distribution of the parameter estimates is accurate to the ordero(n -½) a.s. Some simulation studies are also reported.
| Item Type: | Article |
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| Source: | Copyright of this article belongs to Springer-Verlag. |
| Keywords: | Moving Average Models; Stationary Autoregressions; Cramer's Condition; Edgeworth Expansions; Empirical Distribution Function; Bootstrap |
| ID Code: | 5479 |
| Deposited On: | 19 Oct 2010 12:10 |
| Last Modified: | 16 May 2016 15:58 |
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