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- W2017407421 abstract "Kreiss and Franke (Bootstrapping stationary autoregressive moving-average models. J. Time Ser. Anal.13 (1992), 297–317) proposed bootstrapping a linear approximation to the M-estimator in autoregressive moving-average (ARMA) models. In this paper, it is argued that it may be better to apply the bootstrap principle directly to the M-estimator itself. A number of simulation results are presented to compare the two procedures for estimating the sampling distribution of an M-estimator. The theoretical asymptotic validity of the standard bootstrap applied to the M-estimator is established." @default.
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- W2017407421 modified "2023-09-27" @default.
- W2017407421 title "A Note on Bootstrapping M-Estimators in ARMA Models" @default.
- W2017407421 doi "https://doi.org/10.1111/1467-9892.00143" @default.
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