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Bootstrap in moving average models

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Abstract

We prove that the bootstrap principle works very well in moving average models, when the parameters satisfy the invertibility condition, by showing that the bootstrap approximation of the distribution of the parameter estimates is accurate to the ordero(n −1/2) a.s. Some simulation studies are also reported.

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Author notes

  1. Arup Bose

    Present address: Indian Statistical Institute, India

Authors and Affiliations

  1. Stat.-Math. Division, Indian Statistical Institute, 203, B. T. Road, 700035, Calcutta, India

    Arup Bose

  2. Department of Statistics, Purdue University, 47907, West Lafayette, IN, USA

    Arup Bose

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  1. Arup Bose
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Bose, A. Bootstrap in moving average models. Ann Inst Stat Math 42, 753–768 (1990). https://doi.org/10.1007/BF02481148

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  • DOI: https://doi.org/10.1007/BF02481148

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