Extending the validity of frequency domain bootstrap methods to general stationary processes

DOI10.1214/19-AOS1892zbMath1458.62207OpenAlexW3049053967MaRDI QIDQ2215743

Jens-Peter Kreiss, Efstathios Paparoditis, Marco Meyer

Publication date: 14 December 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1597370678

zbMATH Keywords

bootstrapperiodogramstationary processspectral means

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Nonparametric statistical resampling methods (62G09)

Related Items (4)

A frequency domain bootstrap for general multivariate stationary processes ⋮ Consistency of the frequency domain bootstrap for differentiable functionals ⋮ Simultaneous inference for autocovariances based on autoregressive sieve bootstrap ⋮ Local Whittle estimation of long‐range dependence for functional time series

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the range of validity of the autoregressive sieve bootstrap
• Time series: theory and methods.
• On bootstrapping kernel spectral estimates
• Bootstrap methods: another look at the jackknife
• A frequency domain bootstrap for ratio statistics in time series analysis
• Autoregressive-aided periodogram bootstrap for time series
• Convolved subsampling estimation with applications to block bootstrap
• Asymptotic spectral theory for nonlinear time series
• Confidence intervals for spectral mean and ratio statistics
• On a spectral density estimate obtained by averaging periodograms
• On estimation of the integrals of the fourth order cumulant spectral density
• The Hybrid Wild Bootstrap for Time Series
• The Local Bootstrap for Periodogram Statistics
• PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
• Limiting behavior of functionals of higher-order sample cumulant spectra

This page was built for publication: Extending the validity of frequency domain bootstrap methods to general stationary processes