1992 | OriginalPaper | Buchkapitel
Bootstrapping Some Statistics Useful in Identifying ARMA Models
verfasst von : Efstathios Paparoditis
Erschienen in: Bootstrapping and Related Techniques
Verlag: Springer Berlin Heidelberg
Enthalten in: Professional Book Archive
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Consider a zero mean weakly stationary stochastic process with a continuous and nonzero spectral density function, which satisfies the stochastic difference equation (1)$$ {X_t} = \sum\limits_{{j = 1}}^{\infty} {{a_j}{X_{{t - j}}} + {\varepsilon_t}} $$ for tεZ. We assume that the associated power series $$ A(z) = 1 - \sum\nolimits_{{j = 1}}^{\infty} {{a_j}{z^j}} $$ converges and is nonzero for |z| ≤ 1. The random variables εt are assumed to be independently and identically distributed according to an unknown distribution function F with Eεt = 0 and $$ E\varepsilon_t^2 = {\sigma^2} > 0 $$.