Bisaglia, Luisa - Bordignon, Silvano - Cecchinato, Nedda (2008) Bootstrap approaches for estimation and condence intervals of long memory processes. [Working Paper] WORKING PAPER SERIES, 13/2008 . , PADOVA (Inedito)
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In this work we investigate an alternative 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. We compare this bootstrap method with other existing procedures in a wide Monte Carlo experiment by estimating, parametrically and semiparametrically, the memory parameter d. We consider Gaussian and non-Gaussian processes to prove the robustness of the method to deviations from Normality. The approach is useful also to estimate condence intervals for the memory parameter d by improving the coverage level of the interval.
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