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Details for article 5 of 16 found articles
| Title: |
Bootstrapping empirical distribution functions of residuals from autoregressive model fitting |
| Author: |
kulperger, R. J. |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 25 (1996) nr. 3 pages 657-670 |
| Year: |
1996 |
| Contents: |
[image omitted] is a stationary autoregressive model of order p. Data [image omitted] is collected, and ri,nare the residuals after model fitting. :[image omitted] is the empirical distribution function of the residuals. Suppose the innovations sequence has distribution bounded density and four finite moments. Under these conditions the process [image omitted] converges weakly to a Gaussian process, wich depends on the density f. The limit process is not distribution free. Bootstrapping an AR procehss from the raw EDF does not work. A method of estimating quantiles, based on a smoothed EDF bootstrap, is considered. A numerical study of the method is made. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 5 of 16 found articles
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