Bose, Arup (1988) Edgeworth correction by bootstrap in autoregressions Annals of Statistics, 16 (4). pp. 1709-1722. ISSN 0090-5364
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Official URL: http://www.ssc.wisc.edu/~bhansen/718/Bose.pdf
Abstract
We prove that the distribution of least-squares estimates in autoregressions can be bootstrapped with accuracy o(n-1/2) a.s., thereby improving the normal approximation error of O(n-½ ).
| Item Type: | Article |
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| Source: | Copyright of this article belongs to Institute of Mathematical Statistics. |
| ID Code: | 5590 |
| Deposited On: | 19 Oct 2010 11:49 |
| Last Modified: | 16 May 2016 16:04 |
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