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正值创新一阶自回归模型的 Bootstrap 推断AI 解读

In this article we consider statistical inference for the autoregressive parameter of a first-order autoregressive sequence with positive innovations via an extreme value estimator ϕ. We show that a bootstrap procedure correctly estimates the sampling distribution of an asymptotically pivotal quantity (whose distribution depends only on the exponent of regular variation of the innovation distribution) based on ϕ, provided that the ratio of the bootstrap sample size m and the…

正创新一阶自回归模型的自助法推断AI 解读

In this article we consider statistical inference for the autoregressive parameter of a first-order autoregressive sequence with positive innovations via an extreme value estimator ϕ. We show that a bootstrap procedure correctly estimates the sampling distribution of an asymptotically pivotal quantity (whose distribution depends only on the exponent of regular variation of the innovation distribution) based on ϕ, provided that the ratio of the bootstrap sample size m and the…