Wild bootstrap in RCA(1) model

Kybernetika

Volumn 39, Issue 1, 2003, Pages 1-12

  Prášková, Zuzana ^a  

^a CHARLES UNIVERSITY   (Czech Republic)

Author keywords

Heteroskedasticity; Random Coefficient autoregression; Wild Bootstrap

Indexed keywords

APPROXIMATION THEORY; COMPUTER SIMULATION; ERROR ANALYSIS; MAXIMUM LIKELIHOOD ESTIMATION; MONTE CARLO METHODS; PARAMETER ESTIMATION; VECTORS;

RANDOM COEFFICIENT AUTOREGRESSION (RCA);

CYBERNETICS;

EID: 18844470476     PISSN: 00235954     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (9)

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4. H. Janečková: Some generalizations in a heteroscedastic RCA(1) model. Acta Univ. Carolin. - Math. Phys. 43 (2002), 21-47.
5. U. Jürgens: The estimation of a random coefficient AR(1) process under moment conditions. Statist. Hefte 16 (1985), 237-249.
6. J. P. Kreiss: Asymptotical properties of residual bootstrap for autoregression. Preprint, TU Braunschweig 1997.
7. R. Y. Liu: Bootstrap procedures under some non-i.i.d. models. Ann. Statist. 16 (1988), 1696-1708.
8. D. F. Nicolls and B. G. Quinn: Random Coefficient Autoregressive Models: An Introduction (Lecture Notes in Statistics 11). Springer-Verlag, New York 1982.
9. Z. Prášková: Bootstrapping in nonstationary autoregression. Kybernetika 38 (2002), 389-404.