Bootstrapping the Local Periodogram of Locally Stationary Processes

DOI10.1111/j.1467-9892.2007.00556.xzbMath1164.62062OpenAlexW1972941537MaRDI QIDQ3608198

Marios Sergides, Efstathios Paparoditis

Publication date: 28 February 2009

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2007.00556.x

zbMATH Keywords

locally stationary processesautoregressive processesspectral means

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15) Nonparametric statistical resampling methods (62G09)

Related Items (10)

Record length requirement of long-range dependent teletraffic ⋮ An updated review of goodness-of-fit tests for regression models ⋮ The multiple hybrid bootstrap -- resampling multivariate linear processes ⋮ Simultaneous variable selection and structural identification for time‐varying coefficient models ⋮ Hybrid wild bootstrap for nonparametric trend estimation in locally stationary time series ⋮ A bootstrap functional central limit theorem for time-varying linear processes ⋮ Towards a general theory for nonlinear locally stationary processes ⋮ Frequency Domain Tests of Semiparametric Hypotheses for Locally Stationary Processes ⋮ Bootstrap methods for dependent data: a review ⋮ Testing Semiparametric Hypotheses in Locally Stationary Processes

Cites Work

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• Wavelet thresholding in anisotropic function classes and application to adaptive estimation of evolutionary spectra
• Autoregressive-aided periodogram bootstrap for time series
• Local block bootstrap
• The SLEX model of a non-stationary random process
• On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series
• The Local Bootstrap for Periodogram Statistics

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