Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Bootstrap of LAD Estimate in Infinite Variance AR(1) Processes

  • Kang, Hee-Jeong (Department of Statistics, Chonbuk Naitonal University, Chonju, Chonbuk 561-756)
  • Published : 1997.09.01
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Abstract

This paper proves that the standard bootstrap approximation for the least absolute deviation (LAD) estimate of .beta. in AR(1) processes with infinite variance error terms is asymptotically valid in probability when the bootstrap resample size is much smaller than the original sample size. The theoretical validity results are supported by simulation studies.

Keywords

References

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