Finite-sample properties of the bootstrap estimator in a Markov-switching model

T. W. Ho*

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

2 引文 斯高帕斯(Scopus)

摘要

The size distortion problem is clearly indicative of the small-sample approximation in the Markov-switching regression model. This paper shows that the bootstrap procedure can relieve the effects that this problem has. Our Monte Carlo simulation results reveal that the bootstrap maximum likelihood asymptotic approximations to the distribution can often be good when the sample size is small.

原文英語
頁(從 - 到)835-842
頁數8
期刊Journal of Applied Statistics
28
發行號7
DOIs
出版狀態已發佈 - 2001
對外發佈

ASJC Scopus subject areas

  • 統計與概率
  • 統計、概率和不確定性

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