Extensions of saddlepoint-based bootstrap inference

We propose two substantive extensions to the saddlepoint-based bootstrap (SPBB) methodology, whereby inference in parametric models is made through a monotone quadratic estimating equation (QEE). These are motivated through the first-order moving average model, where SPBB application is complicated...

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Bibliographic Details
Published in:	Annals of the Institute of Statistical Mathematics Vol. 66; no. 5; pp. 961 - 981
Main Authors:	Paige, Robert L., Trindade, A. Alexandre, Wickramasinghe, R. Indika P.
Format:	Journal Article
Language:	English
Published:	Tokyo Springer Japan 01.10.2014 Springer Nature B.V
Subjects:	Approximation Bootstrap method Density Economics Estimators Finance Generalized method of moments Inference Insurance Laplace transforms Management Mathematical analysis Mathematical models Mathematics Mathematics and Statistics Monte Carlo simulation Polynomials Random variables Roots Statistics Statistics for Business Studies Time series Mixed distribution Elliptically contoured distribution MA Exponential power distribution Estimating equation Moving average model Saddlepoint approximation
ISSN:	0020-3157, 1572-9052
Online Access:	Get full text
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