Franke, Jürgen ; Kreiss, Jens-Peter ; Mammen, Enno
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Official URL: urn:nbn:de:kobv:11-10064067
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Abstract
Kernel smoothing in nonparametric autoregressive schemes offers a powerful tool in modelling time series. In this paper it is shown that the bootstrap can be used for estimating the distribution of kernel smoothers. This can be done by mimicking the stochastic nature of the whole process in the bootstrap resampling or by generating a simple regression model. Consistency of these bootstrap procedures will be shown.
| Document type: | Working paper |
|---|---|
| Journal or Publication Title: | Discussion papers of interdisciplinary research project 373 |
| Volume: | 1997 |
| Number: | 20 |
| Place of Publication: | Heidelberg |
| Date Deposited: | 07 Jun 2016 07:02 |
| Date: | 30 July 1997 |
| ISSN: | 1436-1086 |
| Number of Pages: | 37 |
| Faculties / Institutes: | The Faculty of Mathematics and Computer Science > Institut für Mathematik |
| DDC-classification: | 310 General statistics 510 Mathematics |
| Controlled Keywords: | Glättung |
| Series: | Beiträge zur Statistik > Beiträge |
| Additional Information: | Erschienen in: Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,20 |
