Go to the content. | Move to the navigation | Go to the site search | Go to the menu | Contacts | Accessibility

| Create Account

Bisaglia, Luisa and Cecchinato, Nedda and Bordignon, Silvano (2006) A new bootstrap approach for Gaussian long memory time series. [Working Paper] WORKING PAPER SERIES, 6/2006 . , PADOVA (Inedito)

Full text disponibile come:

PDF Document

Abstract (english)

In this work we introduce a new bootstrap approach based on a result of Ramsey (1974) and on the Durbin-Levinson algorithm to obtain surrogate series from linear Gaussian processes with long range dependence. First we investigate properties of this type of bootstrap, then we apply the method to semi-parametric estimators of the long memory parameter. We find out that the performance of our bootstrap procedure is superior, in terms of MSE, to other established approaches.

Statistiche Download - Aggiungi a RefWorks
EPrint type:Working Paper
Anno di Pubblicazione:December 2006
Key Words:bootstrap, periodogram, long-memory
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:7093
Depositato il:09 Sep 2014 14:42
Simple Metadata
Full Metadata
EndNote Format

Download statistics

Solo per lo Staff dell Archivio: Modifica questo record