Bootstrapping Explosive Autoregressive Processes
Basawa, I. V. ; Mallik, A. K. ; McCormick, W. P. ; Taylor, R. L.
Ann. Statist., Tome 17 (1989) no. 1, p. 1479-1486 / Harvested from Project Euclid
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Asymptotic validity of the bootstrap is established for the least squares estimate of the parameter of an explosive first-order autoregressive process. It is noted that nonnormal limit distributions are obtained for both the traditional and the bootstrap estimates. The theoretical bootstrap validity results are supported by appropriate simulation.
Publié le : 1989-12-14
Classification:  Autoregressive process,  bootstrap,  asymptotics,  nonstationary processes,  62M07,  62M09,  62M10,  62E20 
@article{1176347376,
     author = {Basawa, I. V. and Mallik, A. K. and McCormick, W. P. and Taylor, R. L.},
     title = {Bootstrapping Explosive Autoregressive Processes},
     journal = {Ann. Statist.},
     volume = {17},
     number = {1},
     year = {1989},
     pages = { 1479-1486},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176347376}
}

Basawa, I. V.; Mallik, A. K.; McCormick, W. P.; Taylor, R. L. Bootstrapping Explosive Autoregressive Processes. Ann. Statist., Tome 17 (1989) no. 1, pp.  1479-1486. http://gdmltest.u-ga.fr/item/1176347376/