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Properties of the nonparametric autoregressive bootstrap

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For nonparametric autoregression, we investigate a model based bootstrap procedure (`autoregressive bootstrap') that mimics the complete dependence structure of the original time series. We give consistency results for uniform bootstrap confidence bands of the autoregression function based on k...

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Bibliographic Details
Main Authors: Franke, Jürgen (Author) , Kreiß, Jens-Peter (Author) , Mammen, Enno (Author)
Format: Article (Journal)
Language:English
Published: September 2002
In: Journal of time series analysis
Year: 2002, Volume: 23, Issue: 5, Pages: 555-585
ISSN:1467-9892
DOI:10.1111/1467-9892.00278
Online Access:Verlag, Volltext: http://dx.doi.org/10.1111/1467-9892.00278
Verlag, Volltext: http://onlinelibrary.wiley.com/doi/10.1111/1467-9892.00278/abstract
Verlag, Volltext: http://onlinelibrary.wiley.com/doi/10.1111/1467-9892.00278/epdf
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Author Notes:J. Franke, J.-P. Kreiss, E. Mammen, M.H. Neumann
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Properties of the nonparametric autoregressive bootstrap by Franke, Jürgen (Author) , Kreiß, Jens-Peter (Author) , Mammen, Enno (Author) , Neumann, Michael H. (Author) ,


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