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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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