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Bootstrap of Kernel Smoothing in Quantile Autoregression Process
(Journal of Statistical and Econometric Methods, 2013)
The paper considers the problem of bootstrapping kernel estimator
of conditional quantiles for time series, under independent and identically
distributed errors, by mimicking the kernel smoothing in nonparametric
autoregressive ...
A residual-based bootstrap for functional autoregressions
(arXiv preprint, 2019)
We consider the residual-based or naive bootstrap for functional autoregressions
of order 1 and prove that it is asymptotically valid for, e.g., the sample mean and for
empirical covariance operator estimates. As a crucial ...
Bootstrap Uniform Confidence Bands for A Local Linear Nonparametric Estimator and Applications to Financial Risk Management
(2012)
This paper considers the problem of bootstrapping a local linear estimator in conditional quantile estimation of a
financial time series assuming independent and identically distributed errors. A nonparametric ...