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