Limiting Distribution of the Bootstrap Parameter Estimator of a Second Order Autoregressive Model

Abstract

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 estimator of the AR(2) model asymptotically converges in distribution to the bivariate normal distribution.