Overlapping sub-sampling and invariance to initial conditions
This paper studies the use of the overlapping blocking scheme in unit root autoregression. When the underlying process is that of a random walk, the blocks' initial conditions are not fixed, but are equal to the sum of all the previous observations' error terms. When non- overlapping subsa...
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| Format: | Article |
| Language: | English |
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2017.
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| Online Access: | Get fulltext |