Bootstrapping the empirical distribution of a linear process

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.

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Year of publication:	2014
Authors:	El Ktaibi, Farid ; Gail Ivanoff, B. ; Weber, Neville C.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 93.2014, C, p. 134-142
Publisher:	Elsevier
Subject:	Causal linear process \| Empirical process \| Moving block bootstrap \| Goodness of fit

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010906227