haku: @author Wolf, M. / yhteensä: 15
viite: 4 / 15
| Tekijä: | Politis, D. N. Romano, J. P. Wolf, M. |
| Otsikko: | Subsampling for heteroskedastic time series. |
| Lehti: | Journal of Econometrics
1997 : DEC, VOL. 81:2, p. 281-317 |
| Asiasana: | TIME SERIES HETEROSCEDASTICITY LINEAR MODELS CASE STUDIES |
| Kieli: | eng |
| Tiivistelmä: | The authors present a general theory for the construction of confidence intervals or regions in the context of heteroskedastic-dependent data. The basic idea is to approximate the sampling distribution of a statistic based on the values of the statistic computed over smaller subset of the data. The general asymptotic results are applied to a regression setting with dependent heteroskedastic errors. |
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