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Journal of the Italian Statistical Society

, Volume 1, Issue 2, pp 227–234 | Cite as

Bootstrapping moving average models

  • Marcella Corduas
Article

Summary

In recent years, the bootstrap method has been extended to time series analysis where the observations are serially correlated. Contributions have focused on the autoregressive model producing alternative resampling procedures. In contrast, apart from some empirical applications, very little attention has been paid to the possibility of extending the use of the bootstrap method to pure moving average (MA) or mixed ARMA models. In this paper, we present a new bootstrap procedure which can be applied to assess the distributional properties of the moving average parameters estimates obtained by a least square approach. We discuss the methodology and the limits of its usage. Finally, the performance of the bootstrap approach is compared with that of the competing alternative given by the Monte Carlo simulation.

Keywords

bootstrap time series Moving Average models 

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Copyright information

© Societa Italiana di Statistica 1992

Authors and Affiliations

  • Marcella Corduas
    • 1
    • 2
  1. 1.Centro di Specializzazione e RicerchePortici (NA)Italy
  2. 2.Università di Napoli Federico IINapoliItalia

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