论文信息 - Markov chain approximation in bootstrapping autoregressions

Markov chain approximation in bootstrapping autoregressions

We propose a bootstrap algorithm for autoregressions based on the approximation of the data generating process by a finite state discrete Markov chain. We discover a close connection of the proposed algorithm with existing bootstrap resampling schemes, run a small Monte-Carlo experiment, and give an illustrative example.

Andrey L. Vasnev | Stanislav Anatolyev | Stanislav Anatolyev | A. Vasnev

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