Bootstrapping periodically autoregressive models
نویسندگان
چکیده
منابع مشابه
Bootstrapping continuous-time autoregressive processes
We develop a bootstrap procedure for Lévy-driven continuous-time autoregressive (CAR) processes observed at discrete regularly-spaced times. It is well known that a regularly sampled stationary Ornstein–Uhlenbeck process [i.e. a CAR(1) process] has a discrete-time autoregressive representation with i.i.d. noise. Based on this representation a simple bootstrap procedure can be found. Since regul...
متن کاملOn the existence of Hilbert valued periodically correlated autoregressive processes
In this paper we provide sufficient condition for existence of a unique Hilbert valued ($mathbb{H}$-valued) periodically correlated solution to the first order autoregressive model $X_{n}=rho _{n}X_{n-1}+Z_{n}$, for $nin mathbb{Z}$, and formulate the existing solution and its autocovariance operator. Also we specially investigate equivalent condition for the coordinate process...
متن کاملBootstrapping for multilevel models
A single bootstrap sample is obtained by sampling randomly (i.e. according to the assumed mechanism which generated the observations), with replacement, n observations from the original sample. Denote this by X x xn * * * { ,...., } = 1 . Then we can obtain B of these bootstrap samples, X X X B *1 *2 * , ,...., .For each of these we calculate our estimate, say of the mean, and each of these is ...
متن کاملBootstrapping INAR Models
Integer-valued autoregressive (INAR) time series form a very useful class of processes suitable to model time series of counts. In the common formulation of Du and Li (1991, JTSA), INAR models of order p share the autocorrelation structure with classical autoregressive time series. This fact allows to estimate the INAR coefficients, e.g., by Yule-Walker estimators. However, contrary to the AR c...
متن کاملBootstrapping Macroeconometric Models
This paper outlines a complete bootstrapping approach to the estimation and analysis of macroeconometric models. It combines the bootstrapping literature initiated by Efron (1979) and the stochastic simulation literature initiated by Adelman and Adelman (1959).
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: ESAIM: Probability and Statistics
سال: 2017
ISSN: 1292-8100,1262-3318
DOI: 10.1051/ps/2017017