Edgeworth correction by bootstrap in autoregressions

By Arup Bose. 1988

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Citations in the corpus

Trend analysis of climate time series: A review of methods (2019, positive): “The ARB (Freedman and Peters, 1984; Peters and Freedman, 1984; Efron and Tibshirani, 1986; Findley, 1986; Bose, 1988) is a semi-parametric bootstrap variant, which employs an AR(1) model for the autocorrelation but keeps the bootstrap's idea to resample from the data to preserve the distributional…”
Bootstrap methods for dependent data: A review (2011, methodology): “For ARMA modeling we refer the reader to Bose (1988, 1990), Franke and Kreiss (1992) and Freedman (1984).”
Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions (2016, methodology): “Indeed, standard errors and confidence intervals based on resampling the residuals from a fitted AR model has been one of the first bootstrap approaches for time series; cf. Freedman (1984) [19], Efron and Tibshirani (1986) [15], and Bose (1988) [6].”
The Impact of Bootstrap Methods on Time Series Analysis (2003, methodology): “bootstrap; see Bose (1988). Nevertheless, one never really knows whether the underlying stochastic structure conforms exactly to an AR(p) model, and furthermore one would not know the value of p.”
Analysis of tidal data via the blockwise bootstrap (1998, background): “In the former the dependence structure is modeled in terms of a few unknownparameters and independent errors (see, e.g., Bose (1988) who estimates the distribution of theleast squares estimator of autoregressive parameters).”
Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors (2001, background): “This is a problem that requires special attention since, as Basawa et al. (1991a) and Datta (1996) have shown, the standard bootstrap for autoregressive models (Bose, 1988) is asymptotically invalid when the model is unstable.”
Bootstrapping autoregressive processes with possible unit roots (2000, background): “As noted earlier, the standard bootstrap results for autoregressions such as Bose (1988) and Datta (1995) do not cover this model.”
Bootstrap confidence regions computed from autoregressions of arbitrary order (2000, methodology): “Bootstrap methods for time series based on structural models, and related to the sieve bootstrap, have been developed and discussed by, for example, Freedman (1984), Efron and Tibshirani (1986), Bose (1988), Franke and Kreiss (1992) and Davison and Hinkley (1997), chapter 8.”
A general test for time dependence in parameters (2004, methodology): “This parametric bootstrap is known to deliver consistent inference in regression problems (Bose, 1988, Horowitz, 1997) under the assumption of homoskedastic residuals and the LR test statistic is asymptotically pivotal (Li and Maddala, 1996).”
Bootstrap Methods in Econometrics (2018, unknown): “Bose (1988) provides a rigorous discussion of the use of the bootstrap with autoregressions.”
Bootstrap Methods for Time Series (2003, background): “Relevant references for ARMA models are Bose (1988), Bose (1990), and Franke and Kreiss (1992).”