Bootstrap in Markov-sequences based on estimates of transition density
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Bibliographic InfoArticle provided by Springer in its journal Annals of the Institute of Statistical Mathematics.
Volume (Year): 42 (1990)
Issue (Month): 2 (June)
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Web page: http://www.springerlink.com/link.asp?id=102845
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- Parr, William C., 1985. "The bootstrap: Some large sample theory and connections with robustness," Statistics & Probability Letters, Elsevier, vol. 3(2), pages 97-100, April.
- Cerqueti, Roy & Falbo, Paolo & Pelizzari, Cristian, 2013. "Relevant States and Memory in Markov Chain Bootstrapping and Simulation," MPRA Paper 46250, University Library of Munich, Germany.
- Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2012. "International market links and volatility transmission," Journal of Econometrics, Elsevier, vol. 170(1), pages 117-141.
- Stanislav Anatolyev & Andrey Vasnev, 2002. "Markov chain approximation in bootstrapping autoregressions," Economics Bulletin, AccessEcon, vol. 3(19), pages 1-8.
- A. Talha Yalta, 2013. "Small Sample Bootstrap Inference of Level Relationships in the Presence of Autocorrelated Errors: A Large Scale Simulation Study and an Application in Energy Demand," Working Papers 1301, TOBB University of Economics and Technology, Department of Economics.
- Manzan, S. & Zerom, D., 2005. "A Multi-Step Forecast Density," CeNDEF Working Papers 05-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- repec:ebl:ecbull:v:3:y:2002:i:19:p:1-8 is not listed on IDEAS
- Efstathios Paparoditis & Dimitris Politis, 2000. "The Local Bootstrap for Kernel Estimators under General Dependence Conditions," Annals of the Institute of Statistical Mathematics, Springer, vol. 52(1), pages 139-159, March.
- Fernandes, Marcelo, 2006. "Financial crashes as endogenous jumps: estimation, testing and forecasting," Journal of Economic Dynamics and Control, Elsevier, vol. 30(1), pages 111-141, January.
- Manzan, Sebastiano & Zerom, Dawit, 2008. "A bootstrap-based non-parametric forecast density," International Journal of Forecasting, Elsevier, vol. 24(3), pages 535-550.
- Sherman, Michael & Carlstein, Edward, 2004. "Confidence intervals based on estimators with unknown rates of convergence," Computational Statistics & Data Analysis, Elsevier, vol. 46(1), pages 123-139, May.
- Neumann, Michael H., 1997. "On robustness of model-based bootstrap schemes in nonparametric time series analysis," SFB 373 Discussion Papers 1997,88, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Bertail, Patrice & Clemencon, Stephan, 2008. "Approximate regenerative-block bootstrap for Markov chains," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2739-2756, January.
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