کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1151703 | 958245 | 2013 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations](/preview/png/1151703.png)
چکیده انگلیسی
Consider a nearly nonstationary AR(1) model, Xt=θnXtâ1+ut, where θn=1âγ/n, γ is a fixed constant, and the innovations are in the domain of attraction of the normal law with possibly infinite variance. As for the least squares estimator θËn of θn, we propose to use a residual-based m-out-of-n bootstrap procedure to approximate the distribution of θËnâθn, and its asymptotic validity is proved.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 83, Issue 11, November 2013, Pages 2553-2562
Journal: Statistics & Probability Letters - Volume 83, Issue 11, November 2013, Pages 2553-2562
نویسندگان
Ke-Ang Fu, Yuechao Li, Andrew Cheuk-Yin Ng,