Consistency of The Bootstrap Parameter Estimator for AR(1) Process

Suprihatin, Bambang and Guritno, Suryo and Haryatmi, Sri Consistency of The Bootstrap Parameter Estimator for AR(1) Process. In: Proceeding IMS APRM. IMS APRM.

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    In this paper we investigated the asymptotic distribution of the bootstrap parameter estimator of a first order autoregressive AR(1) model. We described the asymptotic distribution of such estimator by applying the delta method and employing two different approaches, and concluded that the two approaches lead to the same conclusion, viz. both results converge in distribution to a normal distribution. We also presented the Monte Carlo simulation of the residuals bootstrap and application with real data was carried out in order to yield apparent conclusions.

    Item Type: Book Section
    Subjects: Q Science > QA Mathematics
    Divisions: Faculty of Mathematics and Natural Sciences > Department of Mathematics
    Depositing User: Mr. Bambang Suprihatin
    Date Deposited: 25 Jul 2014 12:54
    Last Modified: 25 Jul 2014 12:54

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