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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

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    BA - General mathematics

  • OECD FORD branch

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

  • 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