Bootstrap Procedures for On-line Monitoring of Changes in Autoregressive Models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F16%3A10329202" target="_blank" >RIV/00216208:11320/16:10329202 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1080/03610918.2014.904346" target="_blank" >http://dx.doi.org/10.1080/03610918.2014.904346</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/03610918.2014.904346" target="_blank" >10.1080/03610918.2014.904346</a>
Alternative languages
Result language
angličtina
Original language name
Bootstrap Procedures for On-line Monitoring of Changes in Autoregressive Models
Original language description
We compare the behavior of several bootstrap procedures for monitoring changes in the error distribution of autoregressive time series. The proposed procedures are designed to control the overall significance level and include classical tests based on the empirical distribution function as well as Fourier-type methods that utilize the empirical characteristic function, both functions being computed on the basis of properly estimated residuals. The Monte Carlo study incorporates different estimators and a variety of sampling situations with and without outliers.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Communications in Statistics Part B: Simulation and Computation
ISSN
0361-0918
e-ISSN
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Volume of the periodical
45
Issue of the periodical within the volume
7
Country of publishing house
US - UNITED STATES
Number of pages
20
Pages from-to
2471-2490
UT code for WoS article
000379044600017
EID of the result in the Scopus database
2-s2.0-84975318458