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- W3125998519 abstract "We prove geometric ergodicity and absolute regularity of the nonparametric autoregressive bootstrap process. To this end, we revisit this problem for nonparametric autoregressive processes and give some quantitative conditions (i.e., with explicit constants) under which the mixing coefficients of such processes can be bounded by some exponentially decaying sequence. This is achieved by using well-established coupling techniques. Then we apply the result to the bootstrap process and propose some particular estimators of the autoregression function and of the density of the innovations for which the bootstrap process has the desired properties. Moreover, by using some 'decoupling' argument, we show that the stationary density of the bootstrap process converges to that of the original process. As an illustration, we use the proposed bootstrap method to construct simultaneous confidence bands and supremum-type tests for the autoregression function as well as to approximate the distribution of the least squares estimator in a certain parametric model." @default.
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- W3125998519 date "1998-01-01" @default.
- W3125998519 modified "2023-10-18" @default.
- W3125998519 title "Properties of the nonparametric autoregressive bootstrap" @default.
- W3125998519 hasPublicationYear "1998" @default.
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