Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
نویسندگان
چکیده
منابع مشابه
Matched-block Bootstrap for Long Memory Processes Matched-block Bootstrap for Long Memory Processes
The block bootstrap for time series consists in randomly resampling blocks of consecutive values of the given data and aligning these blocks into a bootstrap sample The matched block bootstrap Carlstein et al samples blocks dependently attempting to follow each block with one that might realistically follow it in the underlying process to better match the dependence structure of the data Blocks...
متن کاملThe Rate of Entropy for Gaussian Processes
In this paper, we show that in order to obtain the Tsallis entropy rate for stochastic processes, we can use the limit of conditional entropy, as it was done for the case of Shannon and Renyi entropy rates. Using that we can obtain Tsallis entropy rate for stationary Gaussian processes. Finally, we derive the relation between Renyi, Shannon and Tsallis entropy rates for stationary Gaussian proc...
متن کاملHIGHER-ORDER IMPROVEMENTS OF A COMPUTATIONALLY ATTRACTIVE k-STEP BOOTSTRAP FOR EXTREMUM ESTIMATORS
This paper establishes the higher-order equivalence of the k-step bootstrap, introduced recently by Davidson and MacKinnon (1999), and the standard bootstrap. The k-step bootstrap is a very attractive alternative computationally to the standard bootstrap for statistics based on nonlinear extremum estimators, such as generalized method of moment and maximum likelihood estimators. The paper also ...
متن کاملHIGHER-ORDER IMPROVEMENTS OF A COMPUTATIONALLY ATTRACTIVE k-STEP BOOTSTRAP FOR EXTREMUM ESTIMATORS By
1 This paper establishes the higher-order equivalence of the k-step bootstrap, introduced recently by Davidson and MacKinnon (1999), and the standard bootstrap. The k-step bootstrap is a very attractive alternative computationally to the standard bootstrap for statistics based on nonlinear extremum estimators, such as generalized method of moment and maximum likelihood estimators. The paper als...
متن کاملData adaptive wavelet methods for Gaussian long-memory processes
In this thesis, we investigate some adaptive wavelet approaches for a so-called nonparametric regression model with strongly dependent Gaussian residuals. At first, we discuss data adaptive wavelet estimation of a trend function. It turns out that under certain smoothing conditions on the trend function, the asymptotic rate of the mean integrated square error (MISE) of a trend estimator obtaine...
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: Journal of Econometrics
سال: 2006
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2005.06.010