Bootstrapping the empirical distribution of a linear process

Farid El Ktaibi, B. Gail Ivanoff and Neville C. Weber

Statistics & Probability Letters, 2014, vol. 93, issue C, 134-142

Abstract: The validity of the moving block bootstrap for the empirical distribution of a short memory causal linear process is established under simple conditions that do not involve mixing or association. Sufficient conditions can be expressed in terms of the existence of moments of the innovations and summability of the coefficients of the linear model. Applications to one and two sample tests are discussed.

Keywords: Causal linear process; Empirical process; Moving block bootstrap; Goodness of fit (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2014.06.019

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