DISTRIBUSI ASIMTOTIK ESTIMATOR BOOTSTRAP UNTUK PARAMETER PROSES AUTOREGRESIF; ASYMPTOTIC DISTRIBUTION OF BOOTSTRAP ESTIMATOR FOR PARAMETER OF AUTOREGRESSIVE PROCESS

SUPRIHATIN, BAMBANG, Suryo Guritno

2016 | Disertasi | FMIPA

Let fXt; t 2 Tg be stationary autoregressive model of time series with T is discrete time. Let ? is the coefficient parameter of autoregressive model and b? be the estimator for ?. It has been shown that b? !p ? and p n ? b?

Kata Kunci : asymptotic distribution, autoregressive model, delta method, residuals bootstrap, Monte Carlo simulation.