On the range of validity of the autoregressive sieve bootstrap
On the range of validity of the autoregressive sieve bootstrap
We explore the limits of the autoregressive (AR) sieve bootstrap, and show that its applicability extends well beyond the realm of linear time series as has been previously thought. In particular, for appropriate statistics, the AR-sieve bootstrap is valid for stationary processes possessing a general Wold-type autoregressive representation with respect …