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December, 1988 Edgeworth Correction by Bootstrap in Autoregressions
Arup Bose
Ann. Statist. 16(4): 1709-1722 (December, 1988). DOI: 10.1214/aos/1176351063

Abstract

We prove that the distribution of least-squares estimates in autoregressions can be bootstrapped with accuracy $o(n^{-1/2})$ a.s., thereby improving the normal approximation error of $O(n^{-1/2})$.

Citation

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Arup Bose. "Edgeworth Correction by Bootstrap in Autoregressions." Ann. Statist. 16 (4) 1709 - 1722, December, 1988. https://doi.org/10.1214/aos/1176351063

Information

Published: December, 1988
First available in Project Euclid: 12 April 2007

zbMATH: 0653.62016
MathSciNet: MR964948
Digital Object Identifier: 10.1214/aos/1176351063

Subjects:
Primary: 62F12
Secondary: 60F99, 60G10, 62M10

Rights: Copyright © 1988 Institute of Mathematical Statistics

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Vol.16 • No. 4 • December, 1988
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