Asymptotic Properties of Bootstrap Parameter Estimator for the AR(2) Model

• Activity Number: 684
• Type: Contributed
• Date/Time: Thursday, August 13, 2015 : 10:30 AM to 12:20 PM
• Sponsor: IMS
• Author(s): Bambang Suprihatin* and Suryo Guritno and Sri Haryatmi
• Companies: Sriwijaya University and Gadjah Mada University and Gadjah Mada University
• Keywords: convergence ; delta method ; limiting distribution ; multivariate normal distribution

Abstract

This paper is the extension of our research about asymptotic distribution of the bootstrap parameter estimator for the AR(1) model. We investigate the asymptotic distribution of the bootstrap parameter estimator of a second order autoregressive AR(2) model by applying the delta method. The asymptotic distribution is the crucial property in inference of statistics. We conclude that the bootstrap parameter estimators of the AR(2) model asymptotically converge in distribution to the normal distribution.