Geodesic
Wild bootstrap in RCA(1) model
Kybernetika, Tome 39 (2003) no. 1, p. [1].

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

In the paper, a heteroskedastic autoregressive process of the first order is considered where the autoregressive parameter is random and errors are allowed to be non-identically distributed. Wild bootstrap procedure to approximate the distribution of the least-squares estimator of the mean of the random parameter is proposed as an alternative to the approximation based on asymptotic normality, and consistency of this procedure is established.
Classification : 62E20, 62G09, 62M10
Keywords: randomcoefficient autoregression; heteroskedasticity; wild bootstrap 
@article{KYB_2003__39_1_a0,
     author = {Pr\'a\v{s}kov\'a, Zuzana},
     title = {Wild bootstrap in {RCA(1)} model},
     journal = {Kybernetika},
     pages = {[1]},
     publisher = {mathdoc},
     volume = {39},
     number = {1},
     year = {2003},
     mrnumber = {1980120},
     zbl = {1248.62155},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2003__39_1_a0/}
}
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Prášková, Zuzana. Wild bootstrap in RCA(1) model. Kybernetika, Tome 39 (2003) no. 1, p. [1]. http://geodesic.mathdoc.fr/item/KYB_2003__39_1_a0/