Resource title

A bootstrap view on dickey-fuller control charts for AR(1) series

Resource image

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Resource description

Dickey-Fuller control charts aim at monitoring a random walk until a given time horizon to detect stationarity as early as possible. That problem appears in many fields, especially in econometrics and the analysis of economic equilibria. To improve upon asymptotic control limits (critical values), we study the bootstrap and establish its a.s. consistency for fixed alternatives. Simulations indicate that the bootstrap control chart works very well.

Resource author

Ansgar Steland

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22634

Resource license

Adapt according to the presented license agreement and reference the original author.