BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS

Jens‐Peter Kreiss and Jürgen Franke

Journal of Time Series Analysis, 1992, vol. 13, issue 4, 297-317

Abstract: Abstract. In this paper we develop an asymptotic theory for application of the bootstrap to stationary stochastic processes of autoregressive moving‐average (ARMA) type, with known order (p, q). We give a proof of the asymptotic validity of the bootstrap proposal applied to M estimators for the unknown parameter vector of the process. For this purpose we derive an asymptotic expansion for M estimators in ARMA models and construct an estimate for the unknown distribution function of the residuals which in principle are not observable. A small simulation study is also included.

Date: 1992
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https://doi.org/10.1111/j.1467-9892.1992.tb00109.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:13:y:1992:i:4:p:297-317

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