The multiple hybrid bootstrap - Resampling multivariate linear processes

Journal of Multivariate Analysis

Volumn 101, Issue 10, 2010, Pages 2320-2345

  Jentsch, Carsten ^a   Kreiss, Jens Peter ^a  

^a TECHNICAL UNIVERSITY OF BRAUNSCHWEIG   (Germany)

Author keywords

Autocovariance matrix; Cholesky decomposition; Discrete Fourier transform; Frequency domain bootstrap; Kernel estimators; Multivariate bootstrap; Multivariate linear time series; Sample mean; Spectral density matrix

Indexed keywords

EID: 77956778254     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2010.06.005     Document Type: Article

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